Adaptive market efficiency of agricultural commodity futures contracts

• Autores: Semei Leopoldo Coronado Ramírez, Pedro Luis Celso Arellano, Omar Rojas
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 60, Nº. 2 (April–June 2015), 2015, págs. 389-401
• Idioma: inglés
• DOI: 10.1016/S0186-1042(15)30006-1
• Enlaces
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• Resumen

  • 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.

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