Should Investors in Commodity Markets Be Superstitious (Based on the Example of 29 Commodities)?

• Authors: Krzysztof Borowski

Title variants

Czy inwestorzy na rynku surowców powinni być przesądni (na przykładzie 29 towarów)?

• Languages of publication: EN

Abstracts

EN

The issue of efficiency of financial markets has always fascinated scientists. It is significant from the point of view of assessing portfolio management effectiveness and behavioural finance. In the first part of this paper, the hypothesis of the unfortunate dates effect was tested upon 29 commodity prices in relation to the following four approaches: close‑close, overnight, open‑open, and open‑close. The rates of return were calculated for the sessions falling on the 13th and 4th day of the month, Friday the 13th and Tuesday the 13th. The study proved the occurrence of seasonal effects on the so‑called unlucky dates.

PL

Problem efektywności rynków finansowych zawsze stanowił przedmiot zainteresowania badaczy. Zagadnienie to jest niezwykle ważne z punktu widzenia oceny efektywności zarządzania portfelem aktywów, a także w ujęciu finansów behawioralnych. W artykule, na przykładzie stóp zwrotu 29 surowców, zweryfikowana została hipoteza dotycząca występowania tzw. dni pechowych. Badaniu poddane zostały stopy zwrotu obliczone w następujących ujęciach: cena zamknięcia – cena zamknięcia, overnight, cena otwarcia – cena otwarcia oraz cena otwarcia – cena zamknięcia dla sesji przypadających w następujących dniach: 13. i 4. dzień każdego miesiąca, 13. i piątek oraz 13. i wtorek każdego miesiąca. Badanie potwierdziło występowanie efektów sezonowych w tzw. dni pechowe.

Keywords

EN

market efficiency; calendar anomalies; unfortunate dates effect

PL

efektywność rynków; anomalie kalendarzowe; efekt pechowych dat; efektywność rynków; anomalie kalendarzowe; efekt pechowych dat

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 2018
• Volume: 4
• Issue: 337
• Pages: 69-84

Dates

published

2018-09-20

Contributors

author

Krzysztof Borowski

• Warsaw School of Economics, Institute of Banking and Business Insurance

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Identifiers

DOI

10.18778/0208-6018.337.05