Should Investors in Commodity Markets Be Superstitious (Based on the Example of 29 Commodities)?

Krzysztof Borowski

doi:10.18778/0208-6018.337.05

Autor

Krzysztof Borowski SGH, Instytut Bankowości i Ubezpieczeń Gospodarczych

DOI:

https://doi.org/10.18778/0208-6018.337.05

Słowa kluczowe:

efektywność rynków, anomalie kalendarzowe, efekt pechowych dat

Abstrakt

Problem efektywności rynków finansowych zawsze stanowił przedmiot zainteresowania badaczy. Zagadnienie to jest niezwykle ważne z punktu widzenia oceny efektywności zarządzania portfelem aktywów, a także w ujęciu finansów behawioralnych. W artykule, na przykładzie stóp zwrotu 29 surowców, zweryfikowana została hipoteza dotycząca występowania tzw. dni pechowych. Badaniu poddane zostały stopy zwrotu obliczone w następujących ujęciach: cena zamknięcia – cena zamknięcia, overnight, cena otwarcia – cena otwarcia oraz cena otwarcia – cena zamknięcia dla sesji przypadających w następujących dniach: 13. i 4. dzień każdego miesiąca, 13. i piątek oraz 13. i wtorek każdego miesiąca. Badanie potwierdziło występowanie efektów sezonowych w tzw. dni pechowe.

Pobrania

Brak dostępnych danych do wyświetlenia.

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