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Commodity futures and market efficiency

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00420811" target="_blank" >RIV/67985556:_____/14:00420811 - isvavai.cz</a>

  • Alternative codes found

    RIV/00216208:11230/14:10281478

  • Result on the web

    <a href="http://dx.doi.org/10.1016/j.eneco.2013.12.001" target="_blank" >http://dx.doi.org/10.1016/j.eneco.2013.12.001</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.eneco.2013.12.001" target="_blank" >10.1016/j.eneco.2013.12.001</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Commodity futures and market efficiency

  • Original language description

    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)

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

  • CEP classification

    AH - Economics

  • OECD FORD branch

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2014

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Energy Economics

  • ISSN

    0140-9883

  • e-ISSN

  • Volume of the periodical

    42

  • Issue of the periodical within the volume

    1

  • Country of publishing house

    NL - THE KINGDOM OF THE NETHERLANDS

  • Number of pages

    7

  • Pages from-to

    50-57

  • UT code for WoS article

    000333778400007

  • EID of the result in the Scopus database