Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices

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dc.contributor.authorKuruppuarachchi, D.
dc.contributor.authorLin, H.
dc.contributor.authorPremachandra, I.M.
dc.date.accessioned2018-04-26T03:19:43Z
dc.date.available2018-04-26T03:19:43Z
dc.date.issued2018-01
dc.description.abstractAttacheden_US, si_LK
dc.description.abstractWe propose a novel test to measure market efficiency while estimating the time-varying risk premiums of commodity futures, given that the prices are heteroscedastic. The risk premium is estimated using a state-space model with a Kalman filter modified for heteroscedasticity. Using 79 commodity futures traded on 16 exchanges during the period 2000-2014 and a Monte Carlo simulation, we demonstrate that the proposal produces robust results compared with conventional approaches. The global financial crisis has improved the efficiency and affected the trading volumes of commodity futures, but it has had no effect on the average orthe volatility of risk premiums.
dc.identifier.citationKuruppuarachchi, D., Lin, H., Premachandra, I.M. (2018). "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices", Economic Modellingen_US, si_LK
dc.identifier.urihttp://dr.lib.sjp.ac.lk/handle/123456789/6959
dc.language.isoen_USen_US, si_LK
dc.publisherEconomic Modellingen_US, si_LK
dc.subjectCommodity futuresen_US, si_LK
dc.subjectMarket efficiencyen_US, si_LK
dc.subjectFutures risk premiumen_US, si_LK
dc.subjectState-space modelen_US, si_LK
dc.subjectKalman filteren_US, si_LK
dc.titleTesting commodity futures market efficiency under time-varying risk premiums and heteroscedastic pricesen_US, si_LK
dc.typeArticleen_US, si_LK

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