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  1. 1 Metody Ilościowe w Badaniach Ekonomicznych

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  1. 1 Krawiec M.

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  1. 1 2012

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

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Krawiec M.
Metody Ilościowe w Badaniach Ekonomicznych
|
2012
|
vol. 13
|
issue 2
84-95
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.
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