Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans

Krzysztof Borowski () and Malgorzata Lukasik ()
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Krzysztof Borowski: Warsaw School of Economics, Poland
Malgorzata Lukasik: Warsaw School of Economics, Poland

Eurasian Journal of Business and Management, 2015, vol. 3, issue 2, 12-37

Abstract: The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. 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 monthly, the day-of-the week and weekend effects of seven agricultural commodities quoted in the period of 01.01.1994 - 31.12.2014. Calculations presented in this paper indicate the absence of the monthly effect on coffee market and the existence of monthly effect in the case of another six analyzed agricultural commodities: corn, wheat, sugar, cocoa, cotton and soybeans. In the analyzed period, no occurrence of day-of-the-week effect was proven for corn, cotton and soybeans. The day-of-the-week effect was registered on the markets of: wheat, coffee, sugar and cocoa and the weekend effect was observed only on the cocoa market.

Keywords: Market Efficiency; Commodity Market; Corn; Coffee; Cocoa; Sugar; Cotton; Soybeans (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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