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Commodity futures returns: more memory than you might think!

Coakley, Jerry; Kellard, Neil; Wang, Jian

Authors

Jerry Coakley

Neil Kellard



Abstract

© 2015 Taylor & Francis. This paper investigates long-range dependence in 14 commodity and 3 other financial futures returns series from 1993 to 2009 and shows that long memory is a pervasive phenomenon in contrast to the extant evidence. Utilizing a semi-parametric wavelet-based estimator with time windows, the results provide overwhelming evidence of time-varying long-range dependence in all futures returns series. Structural break tests indicate multiple regimes of dependence, in the majority of which the persistence parameter is statistically significant. The results also provide evidence of predominantly negative parameter values which are known as anti-persistence. The latter is consistent with investor overreaction to shocks and suggests temporary departures from market efficiency.

Citation

Coakley, J., Kellard, N., & Wang, J. (2016). Commodity futures returns: more memory than you might think!. The European journal of finance, 22(14), 1457-1483. https://doi.org/10.1080/1351847X.2015.1025989

Journal Article Type Article
Acceptance Date Mar 2, 2015
Online Publication Date Apr 15, 2015
Publication Date Nov 13, 2016
Deposit Date Mar 17, 2015
Publicly Available Date Apr 15, 2015
Journal European journal of finance
Print ISSN 1351-847X
Electronic ISSN 1466-4364
Publisher Taylor & Francis (Routledge)
Peer Reviewed Peer Reviewed
Volume 22
Issue 14
Pages 1457-1483
DOI https://doi.org/10.1080/1351847X.2015.1025989
Keywords Temporal long-term dependence, Structural breaks, Market efficiency, Wavelet, Overreaction
Public URL https://hull-repository.worktribe.com/output/371714
Publisher URL http://www.tandfonline.com/doi/full/10.1080/1351847X.2015.1025989
Additional Information Peer Review Statement: The publishing and review policy for this title is described in its Aims & Scope.; Aim & Scope: http://www.tandfonline....cope&journalCode=rejf20

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