The weak form efficiency of the London Metal Exchange

Filter techniques are used to test for dependency and weak form efficiency on the London Metal Exchange. They are applied to daily cash and futures prices for copper, lead, tin and zinc, for the period 1972-1982. The results are adjusted for the bias in filter tests caused by the upward trend of prices. An exact test statistic is derived; doubts are raised however about its reliability. The results show strong evidence of inefficiency for copper, weaker but positive evidence for lead and zinc, and no evidence at all for tin.