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The Seasonality of Risk and Return on Agricultural Futures Positions

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  • J. Austin Murphy

Abstract

This study uses spectral analysis to investigate the risk and return seasonality of agricultural futures contracts. The results indicate that neither the expected return nor the contribution of agricultural futures to the risk of diversified investment portfolios vary seasonally. Because numerous authors have hypothesized that seasonality might exist, the findings of this article have important implications for speculators, hedgers, and researchers.

Suggested Citation

  • J. Austin Murphy, 1987. "The Seasonality of Risk and Return on Agricultural Futures Positions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 69(3), pages 639-646.
    • Handle: RePEc:oup:ajagec:v:69:y:1987:i:3:p:639-646.
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    File URL: http://hdl.handle.net/10.2307/1241698
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    Cited by:

    1. Mengmeng Wang & Xue Fan, 2021. "An Empirical Study on How Livestreaming Can Contribute to the Sustainability of Green Agri-Food Entrepreneurial Firms," Sustainability, MDPI, vol. 13(22), pages 1-19, November.
    2. Blank, Steven C., 1989. "Research On Futures Markets: Issues, Approaches, And Empirical Findings," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 14(1), pages 1-14, July.
    3. Hugh Christensen & Simon Godsill & Richard E Turner, 2020. "Hidden Markov Models Applied To Intraday Momentum Trading With Side Information," Papers 2006.08307, arXiv.org.
    4. Julio César Alonso & Andrés Mauricio Arcila, 2013. "Empleo del comportamiento estacional para mejorar el pronóstico de un commodity: el caso del mercado internacional del azúcar," Estudios Gerenciales, Universidad Icesi, December.

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