Statistical Analysis of Soft Commodities Returns in the Period 2007-2016

Soft commodities, often referred to as tropics, constitute a significant element of international trade and are also important to the Polish economy. Moreover, Polish investors may invest in foreign markets of soft commodities through commodity-linked ETFs, offered by some brokerage houses. Obviously, each investment decision should be preceded by an analysis of asset performance. This paper provides results of statistical analysis of soft commodities returns over the period January 2007 to December 2016. They reveal the existence of weak positive correlation between the returns, non-normal distributions, negative trends, and serial autocorrelation.


Issue Date:
Dec 31 2017
Publication Type:
Journal Article
Record Identifier:
http://ageconsearch.umn.edu/record/266505
ISSN:
2081-6960
Language:
English
Published in:
Problems of World Agriculture / Problemy Rolnictwa Światowego, Volume 17, Number 32, Part 4
Page range:
85-94
JEL Codes:
C10; C12; G12
Note:
eISSN 2544-0659




 Record created 2018-01-14, last modified 2018-01-22

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