Počet záznamů: 1
Commodity futures and market efficiency
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SYSNO ASEP 0507285 Druh ASEP J - Článek v odborném periodiku Zařazení RIV Záznam nebyl označen do RIV Poddruh J Článek ve WOS Název Commodity futures and market efficiency Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID, ORCID
Vošvrda, Miloslav (UTIA-B) RIDCelkový počet autorů 2 Zdroj.dok. Energy Economics. - : Elsevier - ISSN 0140-9883
Roč. 42, č. 1 (2014), s. 50-57Poč.str. 8 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Commodities ; Long-term memory ; Fractal dimension Vědní obor RIV AH - Ekonomie Obor OECD Applied Economics, Econometrics CEP GA402/09/0965 GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000333778400007 EID SCOPUS 84890847491 DOI 10.1016/j.eneco.2013.12.001 Anotace We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft com- modities, 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 the other end of the ranking scale we find live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities, with energy commod- ities being the most efficient and other agricultural commodities (composed mainly of livestock) the least effi- cient groups. We also discuss contributions of long-term memory, fractal dimension and approximate entropy to the total inefficiency. Last but not least, we come across the nonstandard relationship between the fractal dimension and the Hurst exponent. For the analyzed dataset, the relationship between these two variables is pos- itive, meaning that local persistence (trending) is connected to global anti-persistence. We attribute this behavior to specifics of commodity futures: they may be predictable over a short term and locally, but over a long term they return to their fundamental prices. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2020
Počet záznamů: 1