文章基本信息

标题：Adaptive market efficiency of agricultural commodity futures contracts
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作者：Semei Coronado Ramírez ; Pedro Luis Celso Arellano ; Omar Rojas 等
期刊名称：Contaduría y Administración
印刷版ISSN：0186-1042
出版年度：2015
卷号：60
期号：2
页码：389-401
语种：English
出版社：Universidad Nacional Autónoma de México
摘要：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. All Rights Reserved © 2015 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración. This is an open access item distributed under the Creative Commons CC License BY-NC-ND 4.0.
其他摘要：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. All Rights Reserved © 2015 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración. This is an open access item distributed under the Creative Commons CC License BY-NC-ND 4.0.
关键词：Efficient markets; Nonlinearity; Adaptive market hypothesis; Agricultural commodities; Futures marke. Mercados eficientes; No linealidad; Hipótesis de mercad...
其他关键词：Efficient markets; Nonlinearity; Adaptive market hypothesis; Agricultural commodities; Futures marke.