Commodity futures and market efficiency

0420811 - ÚTIA 2015 RIV NL eng J - Journal Article
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
R&D Projects: GA ČR GA402/09/0965
Grant - others:GA ČR(CZ) GAP402/11/0948
Program: GA
Institutional support: RVO:67985556
Keywords : commodities * efficiency * entropy * long-term memory * fractal dimension
Subject RIV: AH - Economics
Impact factor: 2.708, year: 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.
Permanent Link: http://hdl.handle.net/11104/0227928