Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange

International Journal of Economics and Finance, Vol. 7, No. 9, 2015, pp. 16-30.

16 Pages Posted: 28 Aug 2015

Date Written: August 27, 2015

Abstract

The commodity market has been becoming one of the main popular segments of the financial markets among individual and institutional investors in recent years, due to downward trend on the stock exchanges. Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of: monthly, daily, the day-of-the week, the first and the second half of monthly effects on the market of rubber futures, quoted in the period from 01.12.1981 to 31.03.2015. Calculations presented in this paper indicate the existence of monthly effect: in May and November, with the use of the average monthly rates of return and in February, March, April, June, July, August, October and December, when the daily average rates of return were implemented. The seasonal effects were also observed in the case of testing the statistical hypothesis for daily averaged rates of returns for different days of the month (15th), as well as for the daily average rates of return on various days of the week (Thursday). The seasonal effects were no registered for the daily average rates of return in the first and in the second half of a month.

Keywords: market efficiency, commodity market, rubber, calendar anomalies

JEL Classification: C10, G14, G24

Suggested Citation

Borowski, Krzysztof, Analysis of Selected Seasonality Effects in Market of Rubber Future Contracts Quoted on Tokyo Commodity Exchange (August 27, 2015). International Journal of Economics and Finance, Vol. 7, No. 9, 2015, pp. 16-30. , Available at SSRN: https://ssrn.com/abstract=2652191 or http://dx.doi.org/10.2139/ssrn.2652191

Krzysztof Borowski (Contact Author)

Warsaw School of Economics ( email )

al. Niepodleglosci 162
Warsaw, 02-544
Poland

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