The impact of data frequency on market efficiency tests of commodity futures prices

Abstract

We investigate the impacts of sampling frequency and model specification uncertainty on the outcome of unit root tests, commonly employed as market efficiency tests, using a new, robust Bayesian test on seven commodity futures prices at three different sample frequencies (daily, weekly, and monthly). Using Bayesian model averaging to account for different possible mean and error variance specifications, we show that sample frequency does affect the unit root test results: the higher the frequency, the higher the support for stationarity. We further show that not accounting for model specification uncertainty can produce unit root test results that are not robust.

The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence

“…The first contribution of this paper is that it considers cojumps within the agricultural futures market, based on the corn, wheat, cotton, and soybean commodities, and cojumps between the agricultural futures market and the stock market to explore cojumps' predictive ability. There are two main motivations for this research: (a) In recent years, commodity markets have received more attention from scholars and practitioners-for example, Kellard, Newbold, Rayner, and Ennew (1999), Tomek and Peterson (2001), Sørensen (2002), Tang and Xiong (2012), Anderson, Rausser, and Swinnen (2013), Nazlioglu, Erdem, and Soytas (2013), Jiang, Su, Todorova, and Roca (2016), Le Pen and Sévi (2017), Tan and Ma (2017), Tian, Yang, and Chen (Tian, Yang, & Chen, 2017a;Tian, Yang, & Chen, 2017b), Bakas and Triantafyllou (2018), Du (2018), Gong and Lin (2018), and Wu, Dorfman, and Karali (2018); and (b) as documented by Le Pen and Sévi (2017), commodity markets are now more closely related to the financial market. Moreover, the existing literature (see, e.g., Berger & Uddin, 2016;Büyükşahin & Robe, 2014;Hammoudeh, Nguyen, Reboredo, & Wen, 2014) indicates that the dependence between equities and commodities becomes stronger in market turmoil, especially after the Lehman-filed bankruptcy.…”