Efficiency evaluation of the aluminum market using random walk

An efficient market is one where prices of traded securities reflect all available information and adjust fully and quickly to new information. When one market is efficient changes in stock prices are unpredictable and therefore behave as a random walk. Our aim to test the efficiency of the international metals market by analyzing their behavior in the London Metal Exchange or LME for its acronym in English, and PLATTS developed by McGraw Hill Company. Both indicators are the primary benchmark to determine the base price for metal parts (aluminum) in the automotive industry. To do this, we take a monthly publication from January 2009 until August 2013, of the metal prices reported in PLATTS and LME. Various statistical tests were applied to determine the stationarity of the sample generated, such as the Autocorrelation Function, the Ljung-Box Test, the Unit Root Test, the Dickey-Fuller Test and the Augmented Dickey-Fuller Test. We concluded that the analyzed series are non-stationary for the case studied, showing a strong statistical evidence that, the international market of the aluminum is efficient and follows a random walk.