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Commodity futures returns: more memory than you might think!<sup>†</sup>

Coakley, J and Kellard, N and Wang, J (2016) 'Commodity futures returns: more memory than you might think!<sup>†</sup>.' European Journal of Finance, 22 (14). 1457 - 1483. ISSN 1351-847X

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Abstract

© 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.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 15 Sep 2015 10:28
Last Modified: 02 Mar 2018 13:15
URI: http://repository.essex.ac.uk/id/eprint/14905

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