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Price multifractality and informational efficiency in the futures markets of the US soybean complex

Author

Listed:
  • Fousekis, Panos

    (Aristotle University of Thessaloniki, Greece)

  • Tzaferi, Dimitra

    (Aristotle University of Thessaloniki, Greece)

Abstract

This work investigates price multifractality and informational efficiency in the futures markets of the US soybean complex (soybeans, soybean meal, soybean oil, and the crush spread) using daily prices from 2015 to 2021 and Multifractal Detrended Fluctuation Analysis (MFDFA). The empirical findings suggest: First, none of the four series exhibited long-range dependence. They did, however, show considerable serial dependence locally. The futures prices of soybeans and soybean oil, and of the crush spread were locally anti-persistent (persistent) for large (small) fluctuations whereas the futures prices of soybean meal were persistent for all small and large fluctuations. Second, all markets in the US soybean complex exhibited some degree of informational inefficiency with that of the crush spread being less efficient relative to the other three. Overall, the results provide valuable information to investors as to whether trend-following or oscillatory trading strategies are more appropriate.

Suggested Citation

  • Fousekis, Panos & Tzaferi, Dimitra, 2022. "Price multifractality and informational efficiency in the futures markets of the US soybean complex," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 68-84.
    • Handle: RePEc:ris:apltrx:0446
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    More about this item

    Keywords

    price predictability; multifractality; informational efficiency; soybean complex;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices

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