Commodity futures and market efficiency

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/14:10281478

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Commodity futures and market efficiency

Popis výsledku v původním jazyce

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)

Název v anglickém jazyce

Commodity futures and market efficiency

Popis výsledku anglicky

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)

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Energy Economics

ISSN

0140-9883

e-ISSN

—

Svazek periodika

42

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

7

Strana od-do

50-57

Kód UT WoS článku

000333778400007

EID výsledku v databázi Scopus

—