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dc.contributor.authorLAHMIRI, Salim
dc.contributor.authorBEKIROS, Stelios D.
dc.date.accessioned2018-12-06T13:55:11Z
dc.date.available2018-12-06T13:55:11Z
dc.date.issued2018
dc.identifier.citationEntropy, 2018, Vol. 20, No. 9, Art. 677
dc.identifier.issn1099-4300
dc.identifier.otherArt. No. 677
dc.identifier.urihttp://hdl.handle.net/1814/59915
dc.descriptionPublished: 06 September 2018en
dc.description.abstractThe riskreturn trade-off is a fundamental relationship that has received a large amount of attention in financial and economic analysis. Indeed, it has important implications for understanding linear dynamics in price returns and active quantitative portfolio optimization. The main contributions of this work include, firstly, examining such a relationship in five major fertilizer markets through different time periods: a period of low variability in returns and a period of high variability such as that during which the recent global financial crisis occurred. Secondly, we explore how entropy in those markets varies during the investigated time periods. This requires us to assess their inherent informational dynamics. The empirical results show that higher volatility is associated with a larger return in diammonium phosphate, potassium chloride, triple super phosphate, and urea market, but not rock phosphate. In addition, the magnitude of this relationship is low during a period of high variability. It is concluded that key statistical patterns of return and the relationship between return and volatility are affected during high variability periods. Our findings indicate that entropy in return and volatility series of each fertilizer market increase significantly during time periods of high variability.
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.publisherMolecular Diversity Preservation International (MDPI)en
dc.relation.ispartofEntropy
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.titleThe informational dynamics of meanvariance relationships in fertilizer markets : an entropic investigation
dc.typeArticleen
dc.identifier.doi10.3390/e20090677
dc.identifier.volume20
eui.subscribe.skiptrue
dc.identifier.issue9
dc.rights.licenseCreative Commons CC BY 4.0


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Except where otherwise noted, this item's license is described as Creative Commons CC BY 4.0