Adaptive Market Efficiency of Agricultural Commodity Futures Contracts
Semei Coronado-Ram\'irez, Pedro Celso-Arellano, Omar Rojas
TL;DR
This study examines the adaptive market efficiency of agricultural commodity futures by detecting nonlinear serial dependencies and their temporal occurrences using advanced statistical tests.
Contribution
It introduces a comprehensive nonlinear testing approach to analyze the dynamic efficiency of agricultural futures markets.
Findings
Nonlinear serial dependence exists in agricultural futures returns.
Market efficiency varies over time, with identifiable moments of inefficiency.
The Hinich portmanteau bicorrelation test effectively detects periods of nonlinear dependence.
Abstract
In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market efficiency, occurs for our sample.
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Taxonomy
TopicsMarket Dynamics and Volatility · Complex Systems and Time Series Analysis · Financial Markets and Investment Strategies