0507285 20240103222354.920190806235959.9 84890847491 000333778400007 10.1016/j.eneco.2013.12.001 8 s. P cav_un_epca*02504260140-9883421 (2014)50-57Elsevier Commodities Long-term memory Fractal dimension cav_un_auth*0256902 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Krištoufek Ladislav UTIA-B CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101230 Vošvrda Miloslav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/E/kristoufek-0507285.pdf cav_un_auth*0377936 GA402/09/0965 GA ČR cav_un_auth*0377937 GAP402/11/0948 GA ČR CZ We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft com- modities, grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat, and coffee. On the other end of the ranking scale we find live cattle and feeder cattle. The efficiency is also found to be characteristic for specific groups of commodities, with energy commod- ities being the most efficient and other agricultural commodities (composed mainly of livestock) the least effi- cient groups. We also discuss contributions of long-term memory, fractal dimension and approximate entropy to the total inefficiency. Last but not least, we come across the nonstandard relationship between the fractal dimension and the Hurst exponent. For the analyzed dataset, the relationship between these two variables is pos- itive, meaning that local persistence (trending) is connected to global anti-persistence. We attribute this behavior to specifics of commodity futures: they may be predictable over a short term and locally, but over a long term they return to their fundamental prices. WOS AH 50000 50200 50202 2020 2 RVO:67985556 http://hdl.handle.net/11104/0298748 S ECONOMICS 1.146 2.850 Q1 68.788 92.342 Q2 Q1* 2014 84890847491 SCOPUS PUBMED 000333778400007 WOS cav_un_epca*0250426 Energy Economics 0140-9883 1873-6181 Roč. 42 č. 1 2014 50 57 Elsevier