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arXiv · 1412.8017

Adaptive Market Efficiency of Agricultural Commodity Futures Contracts

Semei Coronado-Ramírez·Pedro Celso-Arellano·Omar Rojas
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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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BibTeXRIS

Semei Coronado-Ramírez, Pedro Celso-Arellano, Omar Rojas. 2014-12-27. Adaptive Market Efficiency of Agricultural Commodity Futures Contracts. https://arxiv.org/abs/1412.8017

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