Adaptive market efficiency of agricultural commodity futures contracts
In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2015 |
| País: | México |
| Institución: | Universidad Panamericana |
| Repositorio: | Redalyc-UP |
| OAI Identifier: | oai:redalyc.org:39535648006 |
| Acceso en línea: | https://www.redalyc.org/articulo.oa?id=39535648006 |
| Access Level: | acceso abierto |
| Palabra clave: | Administración y Contabilidad Nonlinearity Futures marke Efficient markets Agricultural commodities Adaptive market hypothesis |
| Sumario: | In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market efficiency, occurs for our sample. All Rights Reserved © 2015 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración. This is an open access item distributed under the Creative Commons CC License BY-NC-ND 4.0. |
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