BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Borowski Krzysztof (Warsaw School of Economics, Poland)
Tytuł
Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts
Źródło
Journal of Economics & Management / University of Economics in Katowice, 2015, nr 21, s. 73-89, rys., tab., bibliogr. 35 poz.
Słowa kluczowe
Rynki towarowe, Średnia stopa zwrotu, Produkty rolne
Commodity markets, Average rate of return, Agricultural products
Uwagi
summ.
Abstrakt
Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of daily, the day-of-the week, the first and the second half of monthly effects on the market of futures contract of: barley, canola, rough rice, soybean oil and soybean meal, quoted in the period of 12.12.2006-31.06.2015 (barley) and 01.09.1998-31.06.2015 (the other commodities). Calculations presented in this paper indicate the existence of monthly effect: in September (canola), February and September (soybean oil) and July, September and October (soybean meal) as well as the day-of-the-week effect: on Tuesdays (canola) and on Thursdays (rough rice). The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of return for different days of the month: 4th (barley), 12th (canola), 5th (rough rice) and 9th (soybean oil and soybean meal). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of the month. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Abraham A., Ikenberry D. (1994): Individual Investors and the Weekend Effect. "Journal of Financial and Quantitative Analysis", Vol. 2, pp. 263-277.
  2. Ali J., Gupta K. (2011): Efficiency in Agricultural Commodity Futures Markets in India: Evidence From Cointegration and Causality Tests. "Agricultural Finance Review", Vol. 71, pp.162-178.
  3. Ariel R. (1987): A Monthly Effect in Stock Returns. "Journal of Financial Economics", Vol. 17, pp. 161-174.
  4. Bigman D., Goldfarb D., Schechtman E. (1983): Futures Market Efficiency and the Time Content of the Information Sets. "Journal of Futures Markets", Vol. 3, pp. 321-334.
  5. Buczek S. (2005): Efektywność informacyjna rynków akcji. Teoria a rzeczywistość. Oficyna Wydawnicza SGH, Warszawa.
  6. Canarella G., Pollard S. (1985): Efficiency of Commodity Futures: A Vector Autoregression Analysis. "Journal of Futures Markets", Vol. 5, pp. 57-76.
  7. Condoyanni L., O'Hanlo J., Ward C. (1987): Day of the Week Effects on Stock Returns: International Evidence. "Journal of Business Finance and Accounting", Vol. 14, pp. 159-174.
  8. Connolly R. (1991): A Posterior Odds Analysis of the Weekend Effect. "Journal of Econometrics", Vol. 49, pp. 51-104.
  9. Cross F. (1973): The Behavior of Stock Prices and Fridays and Mondays. "Financial Analyst Journal", Vol. 29, pp. 67-69
  10. Defusco R., McLeavey D., Pinto J., Runkle D. (2001): Quantitative Methods for Investment Analysis. United Book Press, Baltimore.
  11. Fama E. (1970): Efficient Capital Markets: A Review of Theory and Empirical Work. "Journal of Finance", Vol. 25, pp. 383-417.
  12. Froot K., Thaler R. (1990): Anomalies: Foreign Exchange. "Journal of Economic Perspectives", Vol. 4, pp. 179-192.
  13. Garcia P., Hudson M., Waller M. (1988): The Pricing Efficiency of Agricultural Futures Markets: An Analysis of Previous Research Result. "Southern Journal of Agricultural Economics", Vol. 20, pp. 119-130.
  14. Jaffe J., Westerfield R. (1985): The Week-end Effect in Common Stock Returns: The International Evidence. "Journal of Finance", Vol. 40, pp. 410-428
  15. Johnson R., Soenen L. (1997): Gold as an Investment Asset - Perspectives from Different Countries. "Journal of Investing", Vol. 6, pp. 94-99.
  16. Just R., Rausser G. (1975): Commodity Price Forecasting with Large-scale Econometric Models and the Futures Markets: A Survey. "American Journal of Agricultural Economics", Vol. 55, pp. 584-593.
  17. Keim D. (1983): Size-related Anomalies and Stock Return Seasonality: Further Empirical Evidence. "Journal of Financial Economics", Vol. 12, pp. 13-32.
  18. Keim D., Stambaugh F. (1984): A Further Investigation of Weekend Effects in Stock Returns. "Journal of Finance", Vol. 39, pp. 819-840.
  19. Kim C., Park J. (1994): Holiday Effects and Stock Returns: Further Evidence. "Journal of Financial and Quantitative Analysis", Vol. 29, pp. 145-157.
  20. Kofi T. (1972): A Framework for Comparing the Efficiency of the Futures Markets. "American Journal of Agricultural Economics", Vol. 55, pp. 584-593.
  21. Lakonishok J., Levi M. (1982): Weekend Effect on Stock Returns: A Note. "Journal of Finance", Vol. 37, pp. 883-889.
  22. Latif M., Arshad S., Fatima M., Rarooq S. (2011): Market Efficiency, Market Anomalies, Causes, Evidences And Some Behavioral Aspects of market Anomalies. "Research Journal of Finance and Accounting", Vol. 2, pp. 1-14.
  23. Leath M., Garcia P. (1983): The Efficiency of the Corn Futures Markets in Establishing Forward Prices. "North Central Journal of Agricultural Economics", Vol. 5, pp. 91-101.
  24. Lokare S. (2007): Commodity Derivatives and Price Risk Management: An Empirical Anecdote from India. "Reserve Bank of India Occasional Papers", Vol. 28
  25. McKenzie A., Bingrong J., Djunadi H., Hoffman L., Wailes E. (2002): Unbiasedness and Market Efficiency Tests of the U.S. Rice Future Market. "Review of Agricultural Economics", Vol. 24, pp. 474-493.
  26. Osińska M. (2006): Ekonometria finansowa. PWE, Warszawa.
  27. Otto S. (2011): A Speculative Efficiency Analysis of the London Metal Exchange in a Multi-contract Framework. "International Journal of Economics and Finance", Vol. 3, pp. 3-16.
  28. Ovararin K., Meade N. (2010): Mean Reversion and Seasonality in GARCH of Agricultural Commodities. International Conference on Applied Economics, ICOAE 2010, pp. 573-581.
  29. Rausser G., Carter C. (1983): Futures Market Efficiency in the Soybean Complex. "Review of Economics and Statistics", Vol. 65, pp. 469-478.
  30. Sahoo P., Kumar R. (2009): Efficiency and Futures Trading - Price nexus in Indian Commodity Futures Markets. "Global Business Review", Vol. 10, pp. 187-201.
  31. Sehgal S., Rajput N., Dua R. (2012): Price Discovery in Indian Agricultural Commodity Markets. "International Journal of Accounting and Financial Reporting", Vol. 2, pp. 34-54.
  32. Simson E. (1988): Stock Market Anomalies. Cambridge University Press, Cambridge.
  33. Springs J. (1981): Forecasting of Indiana Monthly Farm Prices Using Univariate BoxJenkins Analysis and Corn Futures Prices. "North Central Journal of Agricultural Economy", Vol. 3, pp. 81-87.
  34. Szyszka A. (2007): Wycena papierów wartościowych na rynku kapitałowym w świetle finansów behawioralnych. Wydawnictwo Akademii Ekonomicznej, Poznań.
  35. Tomek W., Gray R. (1970): Temporal Relationship among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Role. "American Journal of Agricultural Economics", Vol. 52, pp. 372-380.
Cytowane przez
Pokaż
ISSN
1732-1948
Język
eng
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu