Skip to main content

Research Repository

Advanced Search

Long memory and structural breaks in commodity futures markets

Coakley, Jerry; Dollery, Jian; Kellard, Neil


Jerry Coakley

Neil Kellard


This study employs daily data for 14 commodities and three financial assets 1990-2009 to explore the impact of the time series properties of the futures-spot basis and the cost of carry on forward market unbiasedness. The main result is that the basis of 16 assets exhibits both long memory and structural breaks. The long memory in the basis is robust even to the use of break-adjusted data. It implies that the cost-of-carry has long memory which the empirical results confirm using the interest cost as a proxy. These new findings suggest that the forecast error has long memory and are inconsistent with unbiasedness. They could be consistent with a weaker version of market efficiency in the presence of a fractionally integrated, time-varying risk premium but they could also be rationalized by priced noise trader risk with limits to arbitrage in less than fully efficient markets. © 2010 Wiley Periodicals, Inc.


Coakley, J., Dollery, J., & Kellard, N. (2011). Long memory and structural breaks in commodity futures markets. Journal of Futures Markets, 31(11), 1076-1113.

Journal Article Type Article
Acceptance Date Oct 1, 2010
Online Publication Date Dec 28, 2010
Publication Date 2011-11
Print ISSN 0270-7314
Electronic ISSN 1096-9934
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 31
Issue 11
Pages 1076-1113
Keywords Economics and Econometrics; Accounting; General Business, Management and Accounting; Finance
Public URL