Adaptive market efficiency of agricultural commodity futures contracts

Coronado Ramírez Semei (), Celso Arellano Pedro Luis () and Omar Rojas ()
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Coronado Ramírez Semei: Universidad de Guadalajara
Celso Arellano Pedro Luis: Universidad de Guadalajara

Contaduría y Administración, 2015, vol. 60, issue 2, 389-401

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.

Keywords: Mercados eficientes; No linealidad; Hipótesis de mercados adaptativos; Productos agrícolas; Mercado de futuros (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:nax:conyad:v:60:y:2015:i:2:p:389-401

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