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

100%
Borowski K.
Journal of Economics and Management
|
2015
|
vol. 21
73-89
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.
2
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Identifying House Price Diffusion Patterns Among Australian State Capital Cities

88%
Liu C., Luo Z., Ma L., Picken D.
International Journal of Strategic Property Management
|
2008
|
vol. 12
|
issue 4
237-250
EN
Prior research supports the proposition that house price diffusion shows a ripple effect along the spatial dimension. That is, house price changes in one region would reflect in subsequent house price changes in other regions, showing certain linkages among regions. Using the vector autoregression model and the impulse response function, this study investigates house price diffusion among Australia's state capital cities, examining the response of one market to the innovation of other markets and determining the lagged terms for the maximum absolute value of the other markets' responses. The results show that the most important subnational markets in Australia do not point to Sydney, rather towards Canberra and Hobart, while the Darwin market plays a role of buffer. The safest markets are Sydney and Melbourne. This study helps to predict house price movement trends in eight capital cities.
LT
Ankstesnių tyrimų duomenimis, nekilnojamojo turto kainų kitimas sukelia bangų efektą atsižvelgiant į erdvinį matmenį. Tai yra nekilnojamojo turto kainų kitimus viename regione rodytų paskesnis nekilnojamojo turto kainų kitimas kituose regionuose. Taip ryškėja tam tikri glaudūs ryšiai tarp regionų. Taikant vektorinį autoregresinį modelį ir impulso perdavimo funkciją, šioje studijoje tiriama nekilnojamojo turto kainų kitimas tarp pagrindinių Australijos miestų, nagrinėjant vienos rinkos reakciją į kitų rinkų naujoves bei nustatant uždelstus terminus kitų rinkų reakcijų maksimaliai absoliutinei vertei. Rezultatai rodo, kad svarbiausios Australijos vidaus rinkos nėra orientuotos į Sidnėjų, bet labiau į Kanberą ir Hobartą. Darvino rinka atlieka buferio vaidmenį. Saugiausios rinkos yra Sidnėjus ir Melburnas. Ši studija padeda numatyti nekilnojamojo turto kainų judėjimo tendencijas aštuoniuose pagrindiniuose Australijos miestuose.
3
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Efekt stycznia i grudnia na przykładzie indeksów światowych giełd i cen surowców

63%
Borowski K.
Studia Ekonomiczne
|
2018
|
vol. 356
7-32
PL
W artykule zaprezentowana została statystyka występowania dodatnich miesięcznych stóp zwrotu w miesiącach grudzień i styczeń dla 50 indeksów giełdowych oraz 30 cen surowców (commodities). Badania przeprowadzono dla miesięcznych stóp zwrotu w cenach zamknięcia dla: wszystkich lat, lat parzystych i nieparzystych. Otrzymane wyniki wskazują, że na rynku akcji efekt grudnia i stycznia występuje bardziej intensywnie niż na rynku surowców. Co ciekawsze, na rynku akcji efekt grudnia był obserwowany częściej, chociaż w literaturze naukowej bardziej rozpowszechniony jest efekt stycznia. Na rynku surowców oba efekty wydają się występować z podobnym nasileniem.
EN
The paper presents the statistics of the occurrence of positive monthly returns in the months of December and January 5 on an example of 50 stock indexes and 30 commodity prices. The research was done for monthly returns in all years, even years and odd years. The obtained results indicate that the December and January effects on the stock market are more intense than on the commodity market. What is even more interesting, the December effect was observed more often, although the January effect is more widespread in the scientific research. On the commodity market both effects appear to have similar intensity.
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