Daily Seasonality in Lme Base Metal Returns 1989-2002: A Robust Analysis

B. Lucey
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引用次数: 3

Abstract

The existence of daily seasonal patterns in the returns to 5 base metals traded on the London Metal Exchange (Aluminium, Copper, Zinc, Lead and Nickel) is examined, using robust methods, over the 1989-2002 period. The paper begins by examining the extent of daily seasonality in asset returns, the majority of papers on this area dealing with equities. However, there is some evidence of daily seasonality in areas other than corporate liabilities, particularly in gold. No papers have to date been published that have examined the issue in base metals. The paper then describes the operations of the London Metal Exchange, the exchange on which the metal contracts analysed here are traded. The data are cash market data on a daily frequency from January 1989 to the end of August 2002. The paper then proceeds to discuss methodological issues, pointing out the need to adjust for large sample sizes and for the distributional characteristics of the data prior to making any inferences regarding the existence or otherwise of seasonality. The roles of resampling methods, robust regressions (Least Trimmed of Squares, M-Class Estimators and Least Absolute Deviation Regression) are also discussed, as are non-parametric methods. The results indicate that daily seasonality does appear to exist in the metal markets, particularly important days being Monday and Thursday. Monday is the lowest return of the week and also negative, with Thursday being the highest (Friday being the second highest). Thus the metal market appears to show the stereotypical pattern of daily seasonality that was commonly described in the literature on the equity markets.
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1989-2002年Lme贱金属收益的每日季节性:一个稳健分析
本文采用稳健的方法,对1989-2002年期间在伦敦金属交易所(lse)交易的5种基本金属(铝、铜、锌、铅和镍)的每日收益中存在的季节性模式进行了研究。本文首先考察了资产收益的每日季节性程度,这一领域的大多数论文都涉及股票。然而,有一些证据表明,在公司负债以外的领域,尤其是黄金领域,每日都存在季节性。迄今为止,还没有发表过研究贱金属中这一问题的论文。然后,本文描述了伦敦金属交易所的运作,本文分析的金属合约就是在伦敦金属交易所进行交易的。这些数据是1989年1月至2002年8月底每日频率的现货市场数据。论文接着讨论了方法问题,指出在对是否存在季节性做出任何推论之前,需要对大样本量和数据的分布特征进行调整。本文还讨论了重采样方法、稳健回归(最小平方裁剪、m类估计和最小绝对偏差回归)以及非参数方法的作用。结果表明,金属市场确实存在每日季节性,特别是周一和周四的重要日子。周一是本周回报率最低的,也是负的,周四是最高的(周五是第二高的)。因此,金属市场似乎表现出了股票市场文献中通常描述的日常季节性的刻板模式。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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