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Adaptive market efficiency of agricultural commodity futures contracts |
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| Affiliation: | 1. Departamento de Métodos Cuantitativos y Departamento de Sistemas de Información, Universidad de Guadalajara, México;2. Escuela de Ciencias Económicas y Empresariales, Universidad Panamericana, México |
| Abstract: | In this paper we investigate the adaptive market efficiency of the agricultural commodity futures market, using a sample of eight futures contracts. Using a battery of nonlinear tests, we uncover the nonlinear serial dependence in the returns series. We run the Hinich portmanteau bicorrelation test to uncover the moments in which the nonlinear serial dependence, and therefore adaptive market efficiency, occurs for our sample. |
| Keywords: | Efficient markets Nonlinearity Adaptive market hypothesis Agricultural commodities Futures market Mercados eficientes No linealidad Hipótesis de mercados adaptativos Productos agrícolas Mercado de futuros |
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