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Commodity futures returns: more memory than you might think!

Coakley, Jerry; Kellard, Neil; Wang, Jian


Jerry Coakley

Neil Kellard


© 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.

Journal Article Type Article
Publication Date Nov 13, 2016
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
APA6 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.
Keywords Temporal long-term dependence, Structural breaks, Market efficiency, Wavelet, Overreaction
Publisher URL
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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