Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts
Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of daily, the day-of-the week, the first and the second half of monthly effects on the market...
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2015-07-01
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doaj-6f4d1f58eba14fb6a1f75683e2430e3a2020-11-24T22:01:51ZengPublishing House of the University of Economics in KatowiceJournal of Economics and Management1732-19482015-07-01217389Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future ContractsKrzysztof Borowski0Warsaw School of Economics, PolandLikely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of daily, the day-of-the week, the first and the second half of monthly effects on the market of futures contract of: barley, canola, rough rice, soybean oil and soybean meal, quoted in the period of 12.12.2006-31.06.2015 (barley) and 01.09.1998-31.06.2015 (the other commodities). Calculations presented in this paper indicate the existence of monthly effect: in September (canola), February and September (soybean oil) and July, September and October (soybean meal) as well as the day-of-the-week effect: on Tuesdays (canola) and on Thursdays (rough rice). The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of return for different days of the month: 4th (barley), 12th (canola), 5th (rough rice) and 9th (soybean oil and soybean meal). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of the month.https://www.ue.katowice.pl/fileadmin/user_upload/wydawnictwo/JEM_Artyku%C5%82y_1_30/JEM_21/05.pdfCommodity marketsAverage rate of returnAgricultural products |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Krzysztof Borowski |
spellingShingle |
Krzysztof Borowski Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts Journal of Economics and Management Commodity markets Average rate of return Agricultural products |
author_facet |
Krzysztof Borowski |
author_sort |
Krzysztof Borowski |
title |
Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts |
title_short |
Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts |
title_full |
Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts |
title_fullStr |
Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts |
title_full_unstemmed |
Analysis of Selected Seasonality Effects in Market of Barley, Canola, Rough Rice, Soybean Oil and Soybean Meal Future Contracts |
title_sort |
analysis of selected seasonality effects in market of barley, canola, rough rice, soybean oil and soybean meal future contracts |
publisher |
Publishing House of the University of Economics in Katowice |
series |
Journal of Economics and Management |
issn |
1732-1948 |
publishDate |
2015-07-01 |
description |
Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of daily, the day-of-the week, the first and the second half of monthly effects on the market of futures contract of: barley, canola, rough rice, soybean oil and soybean meal, quoted in the period of 12.12.2006-31.06.2015 (barley) and 01.09.1998-31.06.2015 (the other commodities). Calculations presented in this paper indicate the existence of monthly effect: in September (canola), February and September (soybean oil) and July, September and October (soybean meal) as well as the day-of-the-week effect: on Tuesdays (canola) and on Thursdays (rough rice). The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of return for different days of the month: 4th (barley), 12th (canola), 5th (rough rice) and 9th (soybean oil and soybean meal). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of the month. |
topic |
Commodity markets Average rate of return Agricultural products |
url |
https://www.ue.katowice.pl/fileadmin/user_upload/wydawnictwo/JEM_Artyku%C5%82y_1_30/JEM_21/05.pdf |
work_keys_str_mv |
AT krzysztofborowski analysisofselectedseasonalityeffectsinmarketofbarleycanolaroughricesoybeanoilandsoybeanmealfuturecontracts |
_version_ |
1725838214977028096 |