ANALIZA WYBRANYCH EFEKTÓW SEZONOWOŚCI NA RYNKU KONTRAKTÓW TERMINOWYCH NA CENĘ KONCENTRATU MROŻONEGO SOKU POMARAŃCZOWEGO
ANALYSIS OF SELECTED SEASONALITY EFFECTS IN MARKET OF FROZEN CONCENTRATED ORANGE JUICE (FCOJ) FUTURE CONTRACTS

Summary/Abstract: Likely to the equity market, the problem of anomalies in the commodities market is becoming an interesting phenomenon, particularly in the segment of the agricultural market. This paper tests the hypothesis of monthly, daily, the day-of-the week, the first and the second half of monthly effects on the market of Frozen Concentrated Orange Juice (FCOJ) futures, quoted in the period from 28.02.1967 to 31.03.2015. Calculations presented in this paper indicate the absence of the day-of-the-week effect and the existence of monthly effect: in February and June with the use of the average monthly rates of return and in February, June and December, when the daily average rates of return were implemented. The seasonal effects were also observed in the case of testing the statistical hypothesis for averaged rates of returns for different days of the month (2nd, 21st, 23th and 31st), as well as for the daily average rates of return in the first and in the second half of a month

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