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Commodity Market Efficiency - New Evidence From the Russia-Ukraine War

Author

Listed:
  • Olayemi O Adu
  • Blessing O Idakwoji

    (Department of Accounting, University of Ibadan, Nigeria)

Abstract

We re-evaluate the efficiency of selected commodity markets during the Russia-Ukraine crisis using the asymptotic normal variance ratio test. We find that there is a substantial difference in the commodity prices before and after the war’s commencement. We also show that the markets are weak-form inefficient before and after the invasion except for gasoline and oats which became efficient during the war. We highlight the investment implications of the findings.

Suggested Citation

  • Olayemi O Adu & Blessing O Idakwoji, 2024. "Commodity Market Efficiency - New Evidence From the Russia-Ukraine War," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 5(2), pages 1-6.
    • Handle: RePEc:ayb:jrnerl:104
    DOI: 2024/07/10
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    References listed on IDEAS

    as
    1. Faheem Aslam & Skander Slim & Mohamed Osman & Ibrahim Tabche, 2022. "The footprints of Russia–Ukraine war on the intraday (in)efficiency of energy markets: a multifractal analysis," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 24(1), pages 89-104, November.
    2. Faheem Aslam & Skander Slim & Mohamed Osman & Ibrahim Tabche, 2022. "The footprints of Russia–Ukraine war on the intraday (in)efficiency of energy markets: a multifractal analysis," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 24(1), pages 89-104, November.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Brian Tavonga Mazorodze & Harris Maduku, 2024. "Real Exchange Rate Undervaluation and Poverty Reduction in South Africa: Does the Nature Of Productivity Growth Matter?," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 12(1), pages 1-20.

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    More about this item

    Keywords

    Commodity markets; Market efficiency; Russia-Ukraine crisis; Variance ratio test;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H56 - Public Economics - - National Government Expenditures and Related Policies - - - National Security and War

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