Özet:

The steady rise in commodity prices experienced during mid-2000s has been analyzed extensively by both practitioners and researchers. Aiming at determining the volatility structure of London Metal Exchange (LME), this paper investigates the price movements of the metals traded in this market. Restricted below with the very first trading day in LME of each metal under study the analysis period is 1995-2013. As the prominent result of the analysis, which employs charts, trend bands, moving average and exponentially moving average methods as tools, it is found that historical volatilities in returns, computed by moving average and exponentially weighted moving average (EWMA) methods, started to rise at the beginning of 2006. Among the other findings of this paper are the superiority of EWMA method in capturing market volatility, the trend pointing the reversion of volatilities down to their pre-2006 values starting from 2012 and that for the period covered nickel with lead are the most volatile metals, while aluminum being the least.

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