BazEkon - The Main Library of the Cracow University of Economics

BazEkon home page

Main menu

Górska Anna (Warsaw University of Life Sciences - SGGW, Poland), Krawiec Monika (Warsaw University of Life Sciences - SGGW, Poland)
Statistical Analysis of Soft Commodities Returns in the Period 2007-2016
Zeszyty Naukowe SGGW w Warszawie. Problemy Rolnictwa Światowego, 2017, t. 17(32), z. 4, s. 85-94, rys., tab., bibliogr. 20 poz.
Scientific Journal Warsaw University of Life Sciences SGGW - Problems of Word Agriculture
Analiza statystyczna, Dystrybucja towarów, Korelacja
Statistical analysis, Commodity distribution, Correlation
streszcz., summ.
Soft commodities, often referred to as tropics, constitute a significant element of international trade and are also important to the Polish economy. Moreover, Polish investors may invest in foreign markets of soft commodities through commodity-linked ETFs, offered by some brokerage houses. Obviously, each investment decision should be preceded by an analysis of asset performance. This paper provides results of statistical analysis of soft commodities returns over the period January 2007 to December 2016. They reveal the existence of weak positive correlation between the returns, non-normal distributions, negative trends, and serial autocorrelation. (original abstract)
Full text
  1. Box, G.E.P., Pierce, D.A. (1970). Distribution of Residual Autocorrelations in Autoregressive Integrated Moving Average Time Series Models. Journal of the American Statistical Association, 65, 1509-15.
  2. Chevallier, J., Ielpo, F. (2013). The Economics of Commodity Markets. John Wiley & Sons Inc., Chichester, West Sussex.
  3. Eller, R., Sagerer, Ch. (2008). An Overview of Commodity Sectors. The Handbook of Commodity Investing. John Wiley & Sons Inc., Chichester, West Sussex, 681-711.
  4. Erb, C.B., Harvey, C.R. (2006). The Strategic and Tactical Value of Commodity Futures. Financial Analyst Journal, 62(2), 69-97.
  5. Fabozzi, J., Füss, R., Kaiser, D.G. (2008). A Primer on Commodity Investing. The Handbook of Commodity Investing. John Wiley & Sons Inc., Chichester, West Sussex, 3-37.
  6. Foreign Trade Turnover By Main Commodities 2016 (2017). CSO, Warsaw, August.
  7. Fuertes, A.M., Miffre, J., Rallis, G. (2008). Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals. EDHEC Business School Working Paper, Lille.
  8. Geman, H. (2007). Commodities and Commodity Derivatives. John Wiley & Sons Inc., Chichester, West Sussex.
  9. Górska, A., Krawiec, M. (2011). Zastosowanie narzędzi analizy technicznej w inwestowaniu na rynkach metali szlachetnych. Metody Ilościowe w Badaniach Ekonomicznych, 12(2), 148-157.
  10. Gujarati, D.N.. (2003). Basic Econometrics. Mc-Graw Hill, New York.
  11. Hamulczuk, M., Szajner, P. (2015). Ceny cukru w Polsce i ich determinanty. Żagadnienia Ekonomiki Rolnej, 4, 59-79.
  12. Irwin, S.H., Zulauf, C.R., Gerlow, M.E., Tinker, J.N. (1997). A Performance Comparison of a Technical Trading Systems with ARIMA Models for Soybean Complex Prices. Advances in Investment Analysis and Portfolio Management, 4, 193-203.
  13. Ljung, G.M., Box, G.P.E. (1978). On a Measure of Lack Fit in Time Series Models. Biometrika, 66, 66-72.
  14. Lukac, L.P., Brorsen, B.W., Irwin, S.H. (1988). A Test of Futures Market Disequilibrium Using Twelve Different Trading Systems. Applied Economics, 20(5), 623-639.
  15. Miffre, J., Rallis, G. (2007). Momentum Strategies in Commodity Futures Markets. Journal of Banking and Finance, 31(6), 1863-1886.
  16. Szakamary, A., Shen, Q., Dharma, S. (2010). Trend Following Trading Strategies in Commodity Futures: A Reexamination. Journal of Banking and Finance, 34, 409-426.
  20. Zaremba, A. (2015). Strategie oparte na momentum i strukturze terminowej w warunkach finansjalizacji rynku surowców. Studia Oeconomica Posnaniensia, 3(2), 29-54.
Cited by
Share on Facebook Share on Twitter Share on Google+ Share on Pinterest Share on LinkedIn Wyślij znajomemu