The soft commodities multiple bubbles tests: evidence from the New York Futures Markets

ABSTRACT

The soft commodity is a high-frequency trading market. We use the right-tailed unit root tests of Phillips et al. to investigate asset bubbles within and to detect explosive episodes on each soft commodity sample date set. Our empirical test uses weekly data from New York soft commodity market and finds bubbles existed in each of the soft commodities. The test model allows us to exam each bubble’s origination and termination dates using date-stamping in the recursive procedure. We found that the soft commodities bubble is more relevant to the man-made factor.

KEYWORDS:

• Soft commodity
• GSADF Model
• bubble
• commodity features

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹. Central Intelligence Agency, The World Factbook Field Listing: Imports – Commodities. Accessed on 29 April 2020

². International Trade Centre, Trade Map. Accessed on 29 April 2020

³. Investopedia, Net Exports Definition. Accessed on 29 April 2020