Testing Seasonality and Efficiency in Commodity Futures Markets
| Author | : |
| Publisher | : |
| Total Pages | : 34 |
| Release | : 1999 |
| Genre | : Futures market |
| ISBN | : |
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Testing for Efficiency in Commodity Futures Markets
| Author | : |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 1996 |
| Genre | : Commodity futures |
| ISBN | : |
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Seasonal Concepts in Futures Trading
| Author | : Jacob Bernstein |
| Publisher | : Wiley-Interscience |
| Total Pages | : 266 |
| Release | : 1986-03-31 |
| Genre | : Business & Economics |
| ISBN | : |
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An incisive guide to the use and analysis of seasonal price trends in the futures markets. Emphasizing application, it explains in detail methods and procedures of ``seasonality,'' a trading strategy based on seasonal price tendencies. Includes many figures mapping futures price changes and cycles, and suggestions for further research.
A Multivariate Multiscale Entropy Approach to Testing Commodity Market Efficiency
| Author | : Rahuldeb Das |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
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This study examines the efficiency of the Indian commodity market after the onset of futures trading on the national level commodity exchanges. The efficiency of five agricultural and three non-agricultural commodities have been tested by calculating multiscale sample entropy, taking univariate and multivariate series. An efficiency index has been built with this design. The results indicate that the Indian commodity market is partially efficient. The efficiency fluctuation is higher in the case of agricultural commodities. The slowdown in 2008 reduced the market efficiency of the exportoriented commodities. Moreover, seasonality in the market efficiency is observed for a few agricultural commodities.
The Efficiency of Commodity Markets
| Author | : Chang Chen |
| Publisher | : |
| Total Pages | : |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
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Current academic literature typically focuses on whether technical analysis rules are able to generate abnormal returns in commodity futures markets. While it is evident that the profitability of technical rules implies the existence of inefficiency in these markets, it does not answer the question of just how high the level of inefficiency is. The aim of this thesis is to introduce a measure of efficiency that is derived from the concept of temporary inefficiency. For this purpose, three different techniques are applied: Moving Averages, Trading Range Breakouts, and Filter Rules. Ten commodity futures markets are examined: corn, cotton, crude oil, gold, heating oil, live cattle, soybean, soybean oil, sugar, and wheat. The analysis is conducted on the basis of futures prices over a period of 20 years and four 5-year sub-periods. The finding from this thesis suggests that while it is true that none of the ten commodity markets is efficient, their degrees of inefficiency vary widely.
Nonparametric Tests of Commodity Futures Market Efficiency
| Author | : Andrew M. McKenzie |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
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Commodity futures markets carry out two important marketing functions with respect to agricultural products: (1) a price discovery role and (2) a price risk management role. The relative effectiveness with which futures markets fulfill these two roles is dependent on the efficiency of the futures market and its ability to provide unbiased forecasts of subsequent futures prices at contract maturity. Our results indicate that futures price returns for live cattle, hogs, corn, rice and soybean meal violate the standard OLS assumption of normality. However, nonparametric statistics results did not materially conflict with our OLS parametric results. Further modeling indicated live cattle, hogs and soybean meal futures returns are better specified using GARCH type models, which allow for a non-constant error variance over time.
A Study of Option Market Efficiency of the Chicago Mercantile Exchange
| Author | : Yue Lai |
| Publisher | : |
| Total Pages | : 250 |
| Release | : 1989 |
| Genre | : |
| ISBN | : |
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Forecasting Commodity Markets
| Author | : Julian Roche |
| Publisher | : McGraw-Hill |
| Total Pages | : 280 |
| Release | : 1995 |
| Genre | : Business & Economics |
| ISBN | : |
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Julian Roche explains every major method of forecasting markets; fundamental analysis, technical analysis, & econometric analysis. Roche discusses both the underlying theory & current application of each method, as well as pricing information on data sources & software. Moreover, the book evaluates the advantages & disadvantages of each approach & demonstrate how to combine approaches to produce an optimum forecasting method. Specific topics include: The history of fundamental, technical, & econometric analysis; Forecasting theories & applications; Accuracy of forecasting methods; The role of forecasting in trading decisions; The future of forecasting.
Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange
| Author | : Krzysztof Borowski |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
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The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of: monthly, daily, the day-of-the week, the first and the second half of monthly effects on the market of rubber futures, quoted in the period from 01.12.1981 to 31.03.2015. Calculations presented in this paper indicate the existence of monthly effect: in May and November, with the use of the average monthly rates of return and in February, March, April, June, July, August, October and December, when the daily average rates of return were implemented. The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of returns for different days of the month (15th), as well as for the daily average rates of return on various days of the week (Thursday). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of a month.
A Test of the Efficiency of Futures Markets in Commodities
| Author | : Sanjeev Gupta |
| Publisher | : |
| Total Pages | : |
| Release | : 1981 |
| Genre | : |
| ISBN | : |
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