Analysis of Selected Seasonality Effects in Mar ket s of Futures Contracts with the Following Underlying Instruments: Crude Oil, Brent Oil, Heating Oil, Gas Oil, Natural Gas, Feeder Cattle, Live Cattle, Lean Hogs and Lumber

• Authors: Borowski, Krzysztof

Abstracts

EN

The commodity market has become one of the main popular segments of the financial markets among individual and institutional investors in recent years, as an alternative possibility of investments. Like to the eąuity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural and energy markets. This paper tests the hypothesis of daily, monthly, the day-of-the week, the weekend effect, the first and the second half of monthly effects on the market of futures contracts of: crude oil, Brent oil, heating oil, gas oil, natural gas, feeder cattle, live cattle, lean hogs and lumber. Calculations presented in this paper indicate the existence of monthly effect in: January (heating oil, natural gas and lumber), February (gas oil), August (heating oil), September (heating oil, natural gas and lumber), October (natural gas), November (crude oil, Brent oil and lumber) and December (natural gas and feeder cattle), as well as the day-of-the- week effect: on Mondays (feeder cattle, live cattle, lean hogs), on Tuesdays (heating oil), on Wednesdays (heating oil, natural gas, live cattle, lean hogs and lumber), on Thursdays (crude oil, feeder cattle, live cattle) and Fridays (Brent oil, heating oil). The calendar anomalies were also detected for different days of each month on various commodity markets. The weekend effect was not registered, but seasonal effects regarding eąuality of the daily average rates of return in the first and in the second half of each month were detected on the lean hogs market.

Keywords

EN

market efficiency; commodity market; seasonality effects

• Publisher: Szkoła Główna Handlowa w Warszawie. Kolegium Zarządzania i Finansów
• Journal: Journal of Management and Financial Sciences
• Year: 2016
• Volume: 26(4)
• Pages: 27-44

Contributors

author

Borowski, Krzysztof