Commodity futures and market efficiency: A fractional integrated approach |
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Authors: | Viviana Fernandez |
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Institution: | a Mining Center, School of Engineering at Pontificia Universidad Catolica de Chile, Trinity College Dublin, Avda. Vicuna Mackenna 4860, Santiago, Chile |
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Abstract: | In financial time series, persistence or inertia is a feature usually observable in absolute returns, i.e., a proxy for volatility. Moreover, asset return series should be essentially unpredictable according to the efficiency market hypothesis (EMH) in its weak form. Surprisingly, recent literature has found evidence of anti-persistence in technology stocks and commodity futures returns. Anti-persistence would be indicative of an overreaction of asset prices to incoming information. |
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Keywords: | Fractional integration Efficiency market hypothesis |
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