Commodity futures and market efficiency

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...

Market Efficiency and Volatility Spillovers in Futures and Spot Commodity Market: The Agricultural Sector Perspective

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...

The Futures Market: A Valuable Commodity

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...

Commodity Futures: A Japanese Perspective*

We study the basic properties of an equally weighted index of U.S. commodities futures from the perspective of a Japanese investor. We find that the returns on the U.S. equally-weighted commodity futures index maintain their basic properties documented in Gorton and Rousenhorst (2005), when translated into Yen. In particular, looking at returns on Japanese stocks and bonds, the commodity future...

Portfolio Diversification with Commodity Futures: Properties of Levered Futures