Time-Varying Return Predictability and Adaptive Behavior in The U.S. Commodity Markets During COVID-19

International Journal of Economics and Management Pub Date : 2022-01-01 DOI:10.47836/ijeamsi.16.1.005

M. Shahid, Muhammad Umar Islam, Nafis Alam, Mohsin Ali

引用次数: 3

Abstract

The study investigates the time-varying efficiency of the four most commonly traded international commodities from the U.S. Chicago Board of Options Exchange (CBOE) over a more extended period as well as during COVID-19. The study also explores how adaptive behavior of returns induces profitable opportunities in the commodity markets. Daily returns of commodity indices (gold, silver, oil, metal) are divided into subsamples of six years, to apply a battery of linear/nonlinear tests. The study uncovers the linear and nonlinear serial dependence in returns from commodities and finds evidence of time-varying volatility, thus consistent with the Adaptive Market Hypothesis over the full sample period. Moreover, returns from all the commodities are highly volatile and predictable during COVID-19.

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COVID-19期间美国商品市场的时变收益可预测性和自适应行为

该研究调查了美国芝加哥期权交易所(CBOE)最常交易的四种国际大宗商品在较长时间内以及在COVID-19期间的时变效率。研究还探讨了回报的适应性行为如何在商品市场中诱导有利可图的机会。商品指数(黄金、白银、石油、金属)的日收益被划分为6年的子样本，以应用一系列线性/非线性测试。该研究揭示了商品收益的线性和非线性序列依赖关系，并发现了时变波动的证据，从而在整个样本周期内与自适应市场假说一致。此外，在2019冠状病毒病期间，所有大宗商品的回报都是高度波动和可预测的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Economics and Management Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

1.80

自引率

0.00%

发文量

期刊介绍： The journal focuses on economics and management issues. The main subjects for economics cover national macroeconomic issues, international economic issues, interactions of national and regional economies, microeconomics and macroeconomics policies. The journal also considers thought-leading substantive research in the finance discipline. The main subjects for management include management decisions, Small Medium Enterprises (SME) practices, corporate social policies, digital marketing strategies and strategic management. The journal emphasises empirical studies with practical applications; examinations of theoretical and methodological developments. The journal is committed to publishing the high quality articles from economics and management perspectives. It is a triannual journal published in April, August and December and all articles submitted are in English. IJEM follows a double-blind peer-review process, whereby authors do not know reviewers and vice versa. Peer review is fundamental to the scientific publication process and the dissemination of sound science.