Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles

Tomek, William G.; Gray, Roger W.

doi:10.2307/1237388

Cited by 169 publications

(107 citation statements)

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“…Tests of price market efficiency in a weak form were conducted among others by Bigman et al (1983), Kofi (1972), Leath and Garcia (1983), Springs (1981) and Tomek and Gray (1970). All of these studies focused on the following agricultural commodities: wheat, corn, soybeans (Bigman et al, 1983), wheat, corn, soybeans, cocoa, coffee (Kofi, 1972), corn (Leath & Garcia, 1983), corn (Springs, 1981, corn, soybeans and potatoes (Tomek & Gray, 1970).…”

Section: Relevant Literturementioning

confidence: 99%

“…All of these studies focused on the following agricultural commodities: wheat, corn, soybeans (Bigman et al, 1983), wheat, corn, soybeans, cocoa, coffee (Kofi, 1972), corn (Leath & Garcia, 1983), corn (Springs, 1981, corn, soybeans and potatoes (Tomek & Gray, 1970). In turn, test of price market efficiency in a semi-strong form were performed by Canarella and Pollard (1985), Just and Rausser (1975), Rausser and Carter (1983) and regarded markets of: wheat, corn, soybeans, soybean oil (the two first papers) and markets of soybean and soybean oil (the third paper).…”

Section: Relevant Literturementioning

confidence: 99%

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Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Borowski¹

2015

IJEF

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The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of: monthly, daily, the day-of-the week, the first and the second half of monthly effects on the market of rubber futures, quoted in the period from 01.12.1981 to 31.03.2015. Calculations presented in this paper indicate the existence of monthly effect: in May and November, with the use of the average monthly rates of return and in February, March, April, June, July, August, October and December, when the daily average rates of return were implemented. The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of returns for different days of the month (15 th ), as well as for the daily average rates of retuarn on various days of the week (Thursday). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of a month.

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Section: Relevant Literturementioning

confidence: 99%

Section: Relevant Literturementioning

confidence: 99%

Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Borowski¹

2015

IJEF

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“…Tests of price market efficiency in a weak form were conducted among others by Bigman et al (1983), Kofi (1972), Leath and Garcia (1983), Spriggs (1981) and Tomek and Gray (1970). All of these studiesfocused onthe following agricultural commodities: wheat, corn, soybeans (Bigman et al 1983), wheat, corn, soybeans, cocoa, coffee (Kofi, 1972), corn (Leath and Garcia, 1983), corn (Spriggs, 1981), corn, soybeans and potatoes (Tomek and Gray, 1970).…”

Section: Literature Reviewmentioning

confidence: 99%

“…All of these studiesfocused onthe following agricultural commodities: wheat, corn, soybeans (Bigman et al 1983), wheat, corn, soybeans, cocoa, coffee (Kofi, 1972), corn (Leath and Garcia, 1983), corn (Spriggs, 1981), corn, soybeans and potatoes (Tomek and Gray, 1970). In turn, test of price market efficiency in a semi-strong form were performed by Canarella and Pollard (1985), Just and Rausser (1975), Rausser and Carter (1983) and regarded markets of: wheat, corn, soybeans, soybean oil (the two first papers) and markets of soybean and soybean oil (the third paper).…”

Section: Literature Reviewmentioning

confidence: 99%

Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans

Borowski¹,

Lukasik²

2015

EJBM

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The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of monthly, the day-of-the week and weekend effects of seven agricultural commodities quoted in the period of 01.01.1994 -31.12.2014. Calculations presented in this paper indicate the absence of the monthly effect on coffee market and the existence of monthly effect in the case of another six analyzed agricultural commodities: corn, wheat, sugar, cocoa, cotton and soybeans. In the analyzed period, no occurrence of day-of-theweek effect was proven for corn, cotton and soybeans. The day-of-the-week effect was registered on the markets of: wheat, coffee, sugar and cocoa and the weekend effect was observed only on the cocoa market.

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“…Theoretically, the two prices are the same at expiration since arbitrage will drive them together. In reality, the two prices can differ, and the futures price is often used because spot price data is not generally available for the same grade of commodity delivered at the same time and location as specified in the futures contract (e.g., Gray and Tomek, 1970;Fama and French, 1987;Beck, 1994). The use of futures price data avoids biases introduced by inaccurate spot price data.…”

Section: The Theoretical Model and The 'Basis'mentioning

confidence: 99%

Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers

Algieri

Kalkuhl

2014

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractThe role of futures markets in stabilizing spot prices has been extensively discussed. Nevertheless, the ability of these markets to achieve the stabilizing function significantly depends on whether they are 'efficient' in the sense that futures prices 'fully reflect' the available information. The purpose of this study is first to gauge the extent to which futures markets for a set of traded commodities can be considered efficient in predicting spot prices. We then go beyond traditional analyses of efficiency and assess the relative forecasting performance of futures markets; i.e., the difference between the realization and prediction of future spot prices, and what factors affect these forecast errors. The results of the analysis show that maize, soybeans, and wheat markets are not informationally efficient, so that investors can make outsize profits. We find that short-term speculation, measured by the scalping index, increases the noises in the information formation process, thus increasing forecast errors. Conversely, long-term speculation, proxied by the Working-T index and the speculative pressure index, reduces forecast errors although their quantitative effect is negligible. Other relevant factors that drive forecast errors up are a high level of realized price volatility, the lack of liquidity in the market, and a longer contract maturity horizon.

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Temporal Relationships Among Prices on Commodity Futures Markets: Their Allocative and Stabilizing Roles

Cited by 169 publications

References 3 publications

Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

Analysis of Selected Seasonality Effects in the Following Agricultural Markets: Corn, Wheat, Coffee, Cocoa, Sugar, Cotton and Soybeans

Back to the Futures: An Assessment of Commodity Market Efficiency and Forecast Error Drivers

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