PL EN


2012 | 13 | 2 | 84-95
Article title

Testing the Granger causality for commodity mutual funds in Poland and commodity prices

Authors
Content
Title variants
Languages of publication
EN
Abstracts
EN
The recent increase in commodity price levels has resulted in the launch of a number of new commodity funds also in Poland. Since these funds do not have long quotation records, the study designed to answer the question whether changes in prices of commodities on world markets Granger-cause changes in quotations of participation units in specialized commodity funds in Poland, must have been limited to a 3-year-period. It includes 8 commodity funds, 11 commodities and 2 stock indices. Their log-returns constitute the base for calculating some descriptive statistics, testing for normality and stationarity. In order to achieve the goal of the research the Granger causality test is adopted. Its results exhibit Granger causality between commodity returns and majority of commodity fund returns, whereas in only few cases there is Granger causality running from stock indices returns to commodity funds returns.
Year
Volume
13
Issue
2
Pages
84-95
Physical description
Dates
published
2012
Contributors
References
  • Balarie E. (2007) Commodities for Every Portfolio, John Wiley & Sons, Hoboken, New Jersey.
  • Eller R., Sagerer Ch. (2008) An Overview of Commodity Sectors, The Handbook of Commodity Investing, John Wiley & Sons, Hoboken, New Jersey, 681-711.
  • Fabozzi F.J., Füss R., Kaiser D.G. (2008) A Primer on Commodity Investing, The Handbook of Commodity Investing, John Wiley & Sons, Hoboken, New Jersey, 3-37.
  • Greene W.H. (2000) Econometric Analysis, Prentice Hall Inc., New Jersey.
  • Gujarati D.N. (2003) Basic Econometrics, McGraw Hill, Boston.
  • Maddala G.S. (2001) Introduction to Econometrics. John Wiley & Sons, Chichester.
  • Ortiz E., Cabello A., de Jesus R. (2007) The role of Mexico’s Stock Exchange in Economic Growth, The Journal of Economic Assymetries, Vol. 4, No 2, 1-26.
  • Ramanathan R. (2002) Introductory Econometrics with Applications, South-Western Thomson Learning, Mason, Ohio.
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-cb0b94a2-93d6-43e8-b218-53df7fd65a99
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