Adaptive market efficiency of agricultural commodity futures contracts
نویسندگان
چکیده
منابع مشابه
Commodity futures and market efficiency
a r t i c l e i n f o We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft commodities , grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat, and coffee. On t...
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Future contracts in commodity market with limited maturities are primarily used for hedging commodity price-fluctuation risks or for taking advantage of price movements, rather than for the buying or selling of the actual cash commodity. This paper is an effort to analyze the market efficiency of the Indian commodity market and volatility spillover effects between the spot and future market wit...
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The agricultural goods futures market has recently regained the interest of corporate business, research institutions, and governments. This renewed interest is brought about by the increasing volatility of the prices of agricultural raw materials. In turn, these reflect the shift that has taken place in the European Union’s joint agricultural policy: from price support to income support and to...
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Various authors claim to have found evidence of stochastic long memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic and an estimate of the long-memory parameter based on the process spectrum. Results based on these new methods provide no evidence...
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In this paper, we study the efficiency of the Chinese wheat and soybeans futures markets and assess the conditions in agricultural commodity futures and cash markets in China. Formal statistical tests are conducted through Johansen's cointegration approach to identify the long-term equilibrium relationship between futures and cash markets. Three different cash prices from Zhengzhou Grain Wholes...
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ژورنال
عنوان ژورنال: Contaduría y Administración
سال: 2015
ISSN: 0186-1042
DOI: 10.1016/s0186-1042(15)30006-1