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Analiza efektywności informacyjnej w formie słabej na rynkach „soft commodities” z wykorzystaniem wybranych testów statystycznych

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  • Górska, Anna
  • Krawiec, Monika

Abstract

The Efficient Market Hypothesis received much attention in the late 1970s. Those early studies focused on examining the efficiency of stock markets, however since that time the researchers’ interest has shifted to commodity markets. The studies usually focus on the markets of oil and of agricultural products, mainly grains. The efficiency of soft commodities market is also examined but not to the same extent. Majority of investigations focus on single products of this category. Thus the aim of our paper is to extend the research and to analyze the weak-form efficiency of six soft commodities: coffee, cocoa, sugar, cotton, frozen concentrated orange juice and rubber. Data under consideration covers daily spot prices of the commodities in the period 2007-2016. Having calculated their logarithmic returns we perform the following statistical tests: runs test, autocorrelation test, Box-Pierce and Box-Ljung tests. As the results obtained are not homogenous, this opens a door to further investigations with the use of different methodology. / Synopsis. Hipoteza rynków efektywnych stała się przedmiotem zainteresowania naukowców pod koniec lat 70. XX wieku. Początkowo badania w tym zakresie koncentrowały się na rynkach akcji, lecz później zainteresowanie badaczy przeniosło się na rynki towarowe, przede wszystkim rynek ropy i rynek produktów rolnych, głównie zbóż. Efektywność rynków „soft commodities” także była przedmiotem badań, lecz w mniejszym stopniu, ponieważ większość z nich koncentrowała się na pojedynczych produktach. Stąd celem niniejszej pracy jest rozszerzenie badań i weryfikacja słabej formy efektywności dla sześciu towarów z grupy „soft commodities”: kawy, kakao, cukru, bawełny, mrożonego koncentratu soku pomarańczowego i kauczuku. Materiał empiryczny stanowią dzienne notowania tych towarów w latach 2007-2016. Po oszacowaniu logarytmicznych stóp zwrotu, przeprowadzono następujące testy statystyczne: test serii, test autokorelacji, testy Boxa-Pierce’a i Boxa- Ljunga. Otrzymane wyniki nie są jednoznaczne, co otwiera pole do dalszych badań z wykorzystaniem alternatywnej metodologii.

Suggested Citation

  • Górska, Anna & Krawiec, Monika, 2017. "Analiza efektywności informacyjnej w formie słabej na rynkach „soft commodities” z wykorzystaniem wybranych testów statystycznych," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 17(32, Part ), September.
    • Handle: RePEc:ags:polpwa:264480
    DOI: 10.22004/ag.econ.264480
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