2022
DOI: 10.47836/ijeamsi.16.1.005
|View full text |Cite
|
Sign up to set email alerts
|

Time-Varying Return Predictability and Adaptive Behavior in The U.S. Commodity Markets During COVID-19

Abstract: The study investigates the time-varying efficiency of the four most commonly traded international commodities from the U.S. Chicago Board of Options Exchange (CBOE) over a more extended period as well as during COVID-19. The study also explores how adaptive behavior of returns induces profitable opportunities in the commodity markets. Daily returns of commodity indices (gold, silver, oil, metal) are divided into subsamples of six years, to apply a battery of linear/nonlinear tests. The study uncovers the … Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1

Citation Types

0
3
0

Year Published

2023
2023
2024
2024

Publication Types

Select...
4

Relationship

0
4

Authors

Journals

citations
Cited by 4 publications
(3 citation statements)
references
References 76 publications
0
3
0
Order By: Relevance
“…The Asian Economies are selected for the analysis and the investigation on such a topic is ignored in Asian countries. According to Shahid et al [30] panel data suffer from a cross-sectional dependency problem; therefore, the current study uses a B.P LM test (Lagrange Multiplier) of and the CD test [31]…”
Section: Methodology and Data Descriptionmentioning
confidence: 99%
“…The Asian Economies are selected for the analysis and the investigation on such a topic is ignored in Asian countries. According to Shahid et al [30] panel data suffer from a cross-sectional dependency problem; therefore, the current study uses a B.P LM test (Lagrange Multiplier) of and the CD test [31]…”
Section: Methodology and Data Descriptionmentioning
confidence: 99%
“…BRICS economies are selected for analysis over the period from 2019 to 2023, the selected period also includes the era of the COVID-19 pandemic, and the pandemic has different implications on the global economy [31].…”
Section: Data Descriptionmentioning
confidence: 99%
“…Future research may use the model of the current study in other country contexts. Future researchers should apply time series models [31]…”
Section: Conclusion and Policy Recommendationsmentioning
confidence: 99%