دانلود رایگان مقاله قیمت فلزات و عملکرد بازار سهام

ABSTRACT

Most studies have focused on the role of oil and gold prices in the link between commodity prices and stock prices. This paper investigates the causal linkage between metal prices and share values for 10 European countries over the period of January 2011 to September 2016. On the basis of the bootstrap panel granger causality approach, the results show that the metal price index and stock price index are not causally related. The policy implication of this empirical finding is that the financial markets are informationally efficient in the sample countries' equity markets. Thus, the information contained in the metal price index cannot be used to predict the future values of the equity indexes.

4. Conclusion

This paper examines the relationship between the metal price index and share price index for 10 European countries over the period over the period January 2011 through September 2016. The bootstrap panel Granger causality that accounts for both cross-sectional dependence and heterogeneity across countries is utilized to detect the direction of causality. Generally speaking, the results show that the stock price index and metal price index are not causally related. The policy implication of the findings is that changes in metal prices cannot predict stock market prices in the European economies. Thus, the possibility of arbitrage is ruled out and the countries' equity markets can be considered as informationally efficient with respect to metal prices. This also has important policy implications for domestic and foreign institutional investors and portfolio managers since the above finding can aid in the structuring of coherent trading portfolios.