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摘要
This paper examines seasonality in returns and volatilities in the South African Futures Exchange (SAFEX) wheat futures contract in order to seek market inefficiencies that can be exploited for financial gain. Non-parametric and parametric-based techniques are used to study sample regimes before and after the peak in wheat prices that occurred during the global economic crisis in 2008. Findings of the study indicate that wheat returns on Mondays and Kansas City Board of Trade (KCBT) holidays are significant and positive while Tuesday returns are negative and significant. These seasonal patterns occur largely in the second sample of the wheat dataset. Furthermore, it is observed that volatility diminished after the global financial crisis. Finally, based on the return seasonality detected and by applying Monte Carlo simulation in an out-of-sample period, some trading rules are developed that yield higher returns than any trading approach based on chance.
- 出版日期2015-12
