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Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego | 2017

Statistical Analysis of Soft Commodities Returns in the Period 2007-2016

Anna Górska; Monika Krawiec

Soft commodities, often referred to as tropics, constitute a significant element of international trade and are also important to the Polish economy. Moreover, Polish investors may invest in foreign markets of soft commodities through commodity-linked ETFs, offered by some brokerage houses. Obviously, each investment decision should be preceded by an analysis of asset performance. This paper provides results of statistical analysis of soft commodities returns over the period January 2007 to December 2016. They reveal the existence of weak positive correlation between the returns, non-normal distributions, negative trends, and serial autocorrelation.


European Journal of Economics and Business Studies | 2016

The Analysis of Weak-Form Efficiency in the Market of Crude Oil

Anna Górska; Monika Krawiec

Crude oil is the strategic commodity whose market has become the biggest commodity market in the world over the past 40 years. The main actors in the market, such as producers, refiners, financial institutions, and individual traders are interested in recognizing some trends, patterns or anomalies in performance of oil prices and returns, they could benefit from. Such anomalies among others are calendar effects, for example the day-of-the week effect, the month-of-the year effect, holidays effect or the turn-of-the month effect. Either the calendar effects are observed for stock prices, or for commodity prices, they make the markets inefficient. According to classical Fama’s definition: a market in which prices always fully reflect available information is called efficient. However, there are 3 types of market efficiency: weak-form efficiency, semistrong-form efficiency, strong-form efficiency. The weak-form market efficiency is tested the most often. There are several tools used for its verification, for example: some statistical tests (unit root tests, autocorrelation tests, variance ratio tests), long-run relationships and correlation analysis, calendar effects analysis. Our previous research focused on searching for calendar effects in the market of crude oil (GA³rska, Krawiec 2015), shows the existence of the-day-of-the week and the month effects. It may imply market inefficiency. That is why the present paper is aimed at further testing weak-form market efficiency. The empirical data covers daily closing prices of crude oil in USD per barrel from 2000 to 2015 and includes, both West Texas Intermediate (WTI) and Brent quotations. Having calculated their logarithmic returns, we apply the following tests: runs test, variance ratio, autocorrelation test.


Metody Ilościowe w Badaniach Ekonomicznych / Szkoła Główna Gospodarstwa Wiejskiego | 2014

ANALYSIS OF CALENDAR EFFECTS IN MARKETS OF PRECIOUS METALS

Monika Krawiec; Anna Górska


Zeszyty Naukowe Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie. Problemy Rolnictwa Światowego | 2009

Inwestowanie w towary jako forma dywersyfikacji portfela

Anna Górska; Monika Krawiec


Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego | 2017

Analiza efektywności informacyjnej w formie słabej na rynkach „soft commodities” z wykorzystaniem wybranych testów statystycznych

Anna Górska; Monika Krawiec


Problems of World Agriculture / Problemy Rolnictwa Åšwiatowego | 2016

The Stability of Component Assets in Optimal Portfolios of Stock and Commodity Indexes

Anna Górska; Monika Krawiec


Zeszyty Naukowe SGGW w Warszawie. Problemy Rolnictwa Światowego | 2015

Calendar Effects in the Market of Crude Oil

Anna Górska; Monika Krawiec


Metody Ilościowe w Badaniach Ekonomicznych | 2015

GRANGER CAUSALITY TESTS FOR PRECIOUS METALS RETURNS

Monika Krawiec; Anna Górska


Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse. Rynki finansowe. Ubezpieczenia | 2013

Badanie efektywności informacyjnej w formie słabej na rynku metali szlachetnych

Anna Górska; Monika Krawiec


Zeszyty Naukowe Szkoły Głównej Gospodarstwa Wiejskiego w Warszawie. Problemy Rolnictwa Światowego | 2011

Zastosowanie narzędzi analizy technicznej w bezpośrednim i pośrednim inwestowaniu w towary

Anna Górska

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Monika Krawiec

Warsaw University of Life Sciences

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