Własności szeregów czasowych stóp zwrotu z inwestycji w metale nieżelazne

Paulina Król

Authors

Paulina Król ✉️ Uniwersytet Ekonomiczny w Katowicach
paulina.krol@edu.uekat.pl https://orcid.org/0000-0002-5016-3620

Keywords:

non-ferrous metals, COVID-19 pandemic, war in Ukraine, time series, alternative investments

Abstract

Aim: The aim of the paper is to identify the properties of time series of rates of return on investments in selected non-ferrous metals, taking into account the current unstable economic and geopolitical situation, as well as to compare the properties of the analysed time series.

Methodology: The article uses selected statistical and econometric methods, financial engineering methods, and time series analyses. The paper presents the development of prices and rates of return of non-ferrous metals (aluminum, tin, zinc, copper, nickel, and lead) in the years 2015-2023, determines the basic statistics of time series and checks the normality and stationarity of empirical distributions.

Results: Investments in copper brought the highest return and investments in lead the lowest. All time series had a positive historical rate of return. Returns on investments in nickel were characterised by the greatest volatility. The distributions of the rates of return on investments in copper and tin were left-sided asymmetric, the other series were right-sided asymmetric. All empirical time series distributions did not coincide with the normal distribution, but they showed stationarity.

Implications and recommendations: People working in the non-ferrous metals sectors and investors should be interested in knowing the ownership of the rates of return on investments in non-ferrous metals. This can help them to forecast prices of non-ferrous metals more accurately and, as a result, to make more optimal trades in the market.

Originality/value: The article verified the properties of the rates of return on investments in non-ferrous metals in view of the high volatility prevailing in the metals market in recent years.

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