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2015 | 21 | 73-89

Article title

Analysis of selected seasonality effects in market of barley, canola, rough rice, soybean oil and soybean meal future contracts

Content

Title variants

Languages of publication

EN

Abstracts

EN
Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of daily, the day-of-the week, the first and the second half of monthly effects on the market of futures contract of: barley, canola, rough rice, soybean oil and soybean meal, quoted in the period of 12.12.2006-31.06.2015 (barley) and 01.09.1998-31.06.2015 (the other commodities). Calculations presented in this paper indicate the existence of monthly effect: in September (canola), February and September (soybean oil) and July, September and October (soybean meal) as well as the day-of-the-week effect: on Tuesdays (canola) and on Thursdays (rough rice). The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of return for different days of the month: 4th (barley), 12th (canola), 5th (rough rice) and 9th (soybean oil and soybean meal). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of the month.

Year

Volume

21

Pages

73-89

Physical description

Contributors

References

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Document Type

Publication order reference

Identifiers

ISSN
1732-1948

YADDA identifier

bwmeta1.element.desklight-bdf3614c-4921-41e0-9a55-f696017dbe74
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