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Analysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agricultural Futures Markets

2022-12-15Journal article Open access
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dc.contributor.authorAslam, Faheem
dc.contributor.authorFerreira, Paulo
dc.contributor.authorAli, Haider
dc.date.accessioned2025-01-15T15:10:06Z
dc.date.available2025-01-15T15:10:06Z
dc.date.issued2022-12-15
dc.date.updated2023-02-20T10:49:07Z
dc.description.abstractThe investigation of the fractal nature of financial data has been growing in the literature. The purpose of this paper is to investigate the impact of the COVID-19 pandemic on the efficiency of agricultural futures markets by using multifractal detrended fluctuation analysis (MF-DFA). To better understand the relative changes in the efficiency of agriculture commodities due to the pandemic, we split the dataset into two equal periods of seven months, i.e., 1 August 2019 to 10 March 2020 and 11 March 2020 to 25 September 2020. We used the high-frequency data at 15 min intervals of cocoa, cotton, coffee, orange juice, soybean, and sugar. The findings reveal that the COVID-19 pandemic has great but varying impacts on the intraday multifractal properties of the selected agricultural future markets. In particular, the London sugar witnessed the lowest multifractality while orange juice exhibited the highest multifractality before the pandemic declaration. Cocoa became the most efficient while the cotton exhibited the minimum efficient pattern after the pandemic. Our findings show that the highest improvement is found in the market efficiency of orange juice. Furthermore, the behavior of these agriculture commodities shifted from a persistent to an antipersistent behavior after the pandemic. The information given by the detection of multifractality can be used to support investment and policy-making decisions.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.3390/jrfm15120607pt_PT
dc.identifier.slugcv-prod-3138219
dc.identifier.urihttp://hdl.handle.net/10400.26/53849
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherMDPIpt_PT
dc.subjectCOVID-19pt_PT
dc.subjectpandemicpt_PT
dc.subjectagriculturept_PT
dc.subjectcommoditypt_PT
dc.subjectMF-DFApt_PT
dc.subjecthigh frequencypt_PT
dc.subjectefficiencypt_PT
dc.titleAnalysis of the Impact of COVID-19 Pandemic on the Intraday Efficiency of Agricultural Futures Marketspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/Concurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017%2F2018) - Financiamento Base/UIDB%2F05064%2F2020/PT
oaire.citation.titleJournal of Risk and Financial Managementpt_PT
oaire.fundingStreamConcurso de avaliação no âmbito do Programa Plurianual de Financiamento de Unidades de I&D (2017/2018) - Financiamento Base
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.cv.cienciaidB513-B46A-E5F3 | Paulo Jorge Silveira Ferreira
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT
relation.isProjectOfPublication0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd
relation.isProjectOfPublication.latestForDiscovery0cd5c3a9-59a4-47a4-a519-49e2c2c24fcd

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