0420811 - ÚTIA 2015 RIV NL eng J - Článek v odborném periodiku
Krištoufek, Ladislav - Vošvrda, Miloslav
Commodity futures and market efficiency.
Energy Economics. Roč. 42, č. 1 (2014), s. 50-57. ISSN 0140-9883. E-ISSN 1873-6181
Grant CEP: GA ČR GA402/09/0965
Grant ostatní: GA ČR(CZ) GAP402/11/0948
Program: GA
Institucionální podpora: RVO:67985556
Klíčová slova: commodities * efficiency * entropy * long-term memory * fractal dimension
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 2.708, rok: 2014
http://library.utia.cas.cz/separaty/2013/E/kristoufek-0420811.pdf

We analyze the market efficiency of 25 commodity futures across various groups – metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of all the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat and coffee. On the other end of the ranking, we detect live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities – energy commodities being the most efficient and the other agricultural commodities (formed mainly of livestock) the least efficient groups. We also discuss contributions of the 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 Hurst exponent. For the analyzed dataset, the relationship between these two is positive meaning that local persistence (trending) is connected to global anti-persistence.
Trvalý link: http://hdl.handle.net/11104/0227928