Author:
SHAHID MUHAMMAD NAEEM,ISLAM MUHAMMAD UMAR,ALAM NAFIS,ALI MOHSIN
Abstract
The study investigates the time-varying efficiency of the four most commonly traded
international commodities from the U.S. Chicago Board of Options Exchange (CBOE) over
a more extended period as well as during COVID-19. The study also explores how adaptive
behavior of returns induces profitable opportunities in the commodity markets. Daily returns
of commodity indices (gold, silver, oil, metal) are divided into subsamples of six years, to
apply a battery of linear/nonlinear tests. The study uncovers the linear and nonlinear serial
dependence in returns from commodities and finds evidence of time-varying volatility, thus
consistent with the Adaptive Market Hypothesis over the full sample period. Moreover,
returns from all the commodities are highly volatile and predictable during COVID-19.
Publisher
Universiti Putra Malaysia
Subject
Strategy and Management,General Economics, Econometrics and Finance,Business and International Management
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