Skip to main content
Article thumbnail
Location of Repository

Monte Carlo Analysis of Mean Reversion in Commodity Futures Prices

By Scott H. Irwin, Carl R. Zulauf and Thomas E. Jackson


This study examines whether mean reversion is present in corn, soybean, wheat, live hog, and live cattle futures prices. Consistent with earlier studies, asymptotic regression results provide substantial evidence of mean reversion in commodity futures price movements. In sharp contrast, the Monte Carlo regression analysis does not provide support for the existence of mean reversion in commodity futures prices. A clear implication is that the asymptotic regression results are misleading. The reason is that the small sample distributions of test statistics are not well approximated by assumed asymptotic distributions. Copyright 1996, Oxford University Press.

DOI identifier: 10.2307/1243711
OAI identifier:
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.