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

Author

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  • Górska, Anna
  • Krawiec, Monika

Abstract

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.

Suggested Citation

  • Górska, Anna & Krawiec, Monika, . "Statistical Analysis of Soft Commodities Returns in the Period 2007-2016," Problems of World Agriculture / Problemy Rolnictwa Światowego, Warsaw University of Life Sciences, vol. 17(32, Part ).
    • Handle: RePEc:ags:polpwa:266505
    DOI: 10.22004/ag.econ.266505
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    References listed on IDEAS

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    1. Julien Chevallier & Florian Ielpo, 2013. "The Economics of Commodity Markets," Post-Print hal-02879507, HAL.
    2. Miffre, Joelle & Rallis, Georgios, 2007. "Momentum strategies in commodity futures markets," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1863-1886, June.
    3. Szakmary, Andrew C. & Shen, Qian & Sharma, Subhash C., 2010. "Trend-following trading strategies in commodity futures: A re-examination," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 409-426, February.
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    Cited by:

    1. James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.

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