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

Anna Górska1, Monika Krawiec2
1, 2 Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Górska, Anna; ORCID: 0000-0003-0763-0550 (Szkoła Główna Gospodarstwa Wiejskiego w Warszawie)
Krawiec, Monika (Szkoła Główna Gospodarstwa Wiejskiego w Warszawie)
Statistical Analysis of Soft Commodities Returns in the Period 2007-2016
Zeszyty Naukowe SGGW w Warszawie - Problemy Rolnictwa Światowego, 2017, vol.17(32), nr 4, s. 85-94

Słowa kluczowe

soft commodities distributional characteristics correlation trend autocorrelation

Streszczenie

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.