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
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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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
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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
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