Adaptive Market Efficiency of Agricultural Commodity Futures Contracts

Semei Coronado-Ram\'irez, Pedro Celso-Arellano and Omar Rojas

Papers from arXiv.org

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.

Date: 2014-12, Revised 2015-03
New Economics Papers: this item is included in nep-agr
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Published in Contaduria y Administacion, 2015, 60(2), 372-382

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1412.8017

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