The Distribution of Shortrun Commodity Price Movements

Jitendar S. Mann and Richard G. Heifner

No 158107, Technical Bulletins from United States Department of Agriculture, Economic Research Service

Abstract: The statistical properties of daily closing futures prices for nine commodities are studied. Two hypotheses are examined: Price changes are normally distributed, and prices follow a random walk process. Normality is tested by estimating kurtosis, the R/S statistic, and characteristic exponents. The Gaussian hypothesis is rejected in a large proportion of cases. Randomness is tested by using the turning point test and the phase length test. Both tests reject the random walk hypothesis.

Keywords: Consumer/Household Economics; Demand and Price Analysis; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 76
Date: 1976-03
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:uerstb:158107

DOI: 10.22004/ag.econ.158107

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