Market efficiency in non-renewable resource markets: evidence from stationarity tests with structural changes

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Kara A., Yıldırım Kasap D., Tunc G. I.

MINERAL ECONOMICS, vol.36, no.2, pp.279-290, 2023 (ESCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 36 Issue: 2
  • Publication Date: 2023
  • Doi Number: 10.1007/s13563-022-00312-8
  • Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus
  • Page Numbers: pp.279-290
  • Keywords: Long-run variance estimation, Market efficiency, Non-renewable resource price, Stationarity test, Structural change, OIL-PRICE SHOCK, UNIT-ROOT, METAL PRICES, GREAT CRASH, KPSS-TEST, TRENDS, NULL, SPOT, COINTEGRATION, PERSISTENCE
  • Middle East Technical University Affiliated: Yes


The dynamics of metal prices are highly significant for worldwide economic activity due to metals being key intermediate inputs to industrial production and construction and treated as investment assets. In that sense, this study investigates the efficient market hypothesis, i.e., predictability of price patterns, for several non-renewable resources, namely copper, lead, tin, nickel, zinc, aluminum, gold, platinum, and silver. Our period covers 1980Q1-2019Q4, during which metal markets witnessed many extraordinary times due to market-specific and global factors. Accounting for the importance of the potential breaks in the analysis of stochastic properties of non-renewable resource prices, we utilize two different stationarity tests; one is designed to capture smooth breaks, and the other one is designed to detect abrupt changes in the prices. Our empirical results reveal that none of the prices, except silver, can be characterized by the efficient market hypothesis. They follow stationary and predictable patterns with structural changes related to market-specific and global economic events, though concerns on economic uncertainties appeared to be more effective on precious metals.