The soft commodities multiple bubbles tests: evidence from the New York Futures Markets

Chien-Liang Chiu and Ke-Hsin Chou

Applied Economics Letters, 2022, vol. 29, issue 3, 206-211

Abstract: The soft commodity is a high-frequency trading market. We use the right-tailed unit root tests of Phillips et al. to investigate asset bubbles within and to detect explosive episodes on each soft commodity sample date set. Our empirical test uses weekly data from New York soft commodity market and finds bubbles existed in each of the soft commodities. The test model allows us to exam each bubble’s origination and termination dates using date-stamping in the recursive procedure. We found that the soft commodities bubble is more relevant to the man-made factor.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2020.1861195 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:29:y:2022:i:3:p:206-211

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2020.1861195

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().