ASSET PRICE PREDICTABILITY AND MARKET EFFICIENCY: THE CASE OF STOCK AND URANIUM PRICES

Abstract

This study investigates the predictability of uranium and stock market returns through the lens of the Efficient Market Hypothesis (EMH), which implies that asset prices reflect all available information, making short-term returns unpredictable. I focus on three financial time series: uranium futures prices, Cameco stock prices, and the MSCI Energy Index. Using Autoregressive Moving Average (ARMA) and Vector Error-Correction (VEC) models, I test for weak-form efficiency. By incorporating structural break dummies, the analysis captures major structural and geopolitical events, including the 2008 global financial crisis, the 2011 Fukushima disaster, and Russia’s full-scale invasion of Ukraine in 2022. In particular, I study the following questions: Are these markets unpredictable? If not, to what extent can they be forecasted, and which models offer superior predictive performance? The results show moderate predictability in uranium markets and greater weak-form efficiency in stock and energy indices and offer practical implications for investors and policymakers.