IDEAS home Printed from https://ideas.repec.org/r/wly/jfutmk/v19y1999i4p413-432.html
   My bibliography  Save this item

The relative efficiency of commodity futures markets

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Cagli, Efe Caglar & Taskin, Dilvin & Evrim Mandaci, Pınar, 2019. "The short- and long-run efficiency of energy, precious metals, and base metals markets: Evidence from the exponential smooth transition autoregressive models," Energy Economics, Elsevier, vol. 84(C).
  2. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
  3. Dolatabadi, Sepideh & Nielsen, Morten Ørregaard & Xu, Ke, 2016. "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 623-639.
  4. Akram, Q. Farooq, 2009. "Commodity prices, interest rates and the dollar," Energy Economics, Elsevier, vol. 31(6), pages 838-851, November.
  5. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019. "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, vol. 77(C), pages 92-112.
  6. Manuel Monge & Ana Lazcano, 2022. "Commodity Prices after COVID-19: Persistence and Time Trends," Risks, MDPI, vol. 10(6), pages 1-20, June.
  7. Bernardina Algieri & Matthias Kalkuhl, 2019. "Efficiency and Forecast Performance of Commodity Futures Markets," American Journal of Economics and Business Administration, Science Publications, vol. 11(1), pages 19-34, June.
  8. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
  9. H. Holly Wang & Bingfan Ke, 2005. "Efficiency tests of agricultural commodity futures markets in China," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 49(2), pages 125-141, June.
  10. Kian-Ping Lim, 2009. "Efficiency tests of the UK financial futures markets and the impact of electronic trading systems: a note on relative market efficiency," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1129-1132.
  11. Joseph M. Santos, 2014. "Back to the futures: An assessment of market performance on the early Winnipeg Grain Exchange," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(4), pages 1426-1448, November.
  12. Wani, M.H. & Paul, Ranjit Kumar & Bazaz, Naseer H. & Manzoor, M., 2015. "Market integration and Price Forecasting of Apple in India," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 70(2), pages 1-13.
  13. Stuart Snaith & Neil M. Kellard & Norzalina Ahmad, 2018. "Open outcry versus electronic trading: Tests of market efficiency on crude palm oil futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(6), pages 673-695, June.
  14. Ibikunle, Gbenga & Gregoriou, Andros & Hoepner, Andreas G.F. & Rhodes, Mark, 2016. "Liquidity and market efficiency in the world's largest carbon market," The British Accounting Review, Elsevier, vol. 48(4), pages 431-447.
  15. Jawadi, Fredj & Ftiti, Zied & Hdia, Mouna, 2017. "Assessing efficiency and investment opportunities in commodities: A time series and portfolio simulations approach," Economic Modelling, Elsevier, vol. 64(C), pages 567-588.
  16. Jerry Coakley & Jian Dollery & Neil Kellard, 2011. "Long memory and structural breaks in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(11), pages 1076-1113, November.
  17. Sepideh Dolatabadi & Morten Ørregaard Nielsen & Ke Xu, 2015. "A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 339-356, April.
  18. Mohanty, Sunil K. & Mishra, Sibanjan, 2020. "Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets," Research in International Business and Finance, Elsevier, vol. 52(C).
  19. Konstantinidi, Eirini & Skiadopoulos, George, 2011. "Are VIX futures prices predictable? An empirical investigation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 543-560.
  20. repec:rej:journl:v:16:y:2013:i:47:p:211-228 is not listed on IDEAS
  21. Daniel Grabowski, 2016. "Causes of the 2000s Food Price Surge: New Evidence from Structural VAR," MAGKS Papers on Economics 201631, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  22. Li, Jia & Hanrahan, Kevin F. & McErlean, Seamus, 2004. "The Efficiency Of The Futures Market For Agricultural Commodities In The Uk," 2004 Annual meeting, August 1-4, Denver, CO 20203, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  23. Ying-Foon Chow, 2001. "Arbitrage, Risk Premium, and Cointegration Tests of the Efficiency of Futures Markets," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(5-6), pages 693-713.
  24. Bendik P. Andersen & Petter E. de Lange, 2021. "Efficiency in the Atlantic salmon futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 949-984, June.
  25. Bouri, Elie & Nekhili, Ramzi & Todorova, Neda, 2023. "Dynamic co-movement in major commodity markets during crisis periods: A wavelet local multiple correlation analysis," Finance Research Letters, Elsevier, vol. 55(PB).
  26. Karahan, Cenk C. & Odabaşı, Attila & Tiryaki, C. Sani, 2024. "Wired together: Integration and efficiency in European electricity markets," Energy Economics, Elsevier, vol. 133(C).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.