Time-Varying Return Predictability and Adaptive Behavior in The U.S. Commodity Markets During COVID-19
International Journal of Economics and Management
; 16(SpecialIssue1):59-80, 2022.
Article
in English
| Scopus | ID: covidwho-2206844
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. JEL Classification G4, G41 © International Journal of Economics and Management. ISSN 1823-836X. e-ISSN 2600-9390.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Prognostic study
Language:
English
Journal:
International Journal of Economics and Management
Year:
2022
Document Type:
Article
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