This study examines the validity of the random walk hypothesis for some selected soft agricultural commodity prices within the context of heterogeneous market hypothesis and mean reversion hypothesis. The study employs a battery of traditional unit root tests, GARCH-based models and a novel frequency-based wavelet analysis to analyze daily data sourced from 6th of Jan 1986 to 29th Dec 2018. Contrary to other existing studies that employed only traditional time domain unit root tests, our results reveal that soft commodity prices are mean reverting, suggesting the existence of potential excess returns for investors. Overall, our results show that the selected soft commodity series are inefficient when we factored in heteroscedascity and frequency domain into our model. Our study is an improvement on the existing studies as we analyze our data using both time and frequency domain estimates. Besides, unlike other studies that did not offer structural breaks, the current study provides structural break dates with major events in the global socioeconomic space, which are key to identifying the date of bubbles and potential signs of commodity price bubbles. Our findings have some critical implications for investors, policy makers, Received: January, 2019 1st Revision: May, 2019 Accepted: November, 2019 DOI: 10.14254/20718330.2019/12-4/7 Journal of International Studies S ci en ti fi c P a pe rs © Foundation of International Studies, 2019 © CSR, 2019 Adedoyin Isola Lawal, Oluwasola Emmanuel Omoju, Abiola Ayopo Babajide, Abiola John Asaleye Testing mean-reversion in agricultural commodity prices: Evidence from wavelet analysis 101 academics and other interested economic agents.

中文翻译：

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检验农产品价格的均值回归：小波分析的证据

在异质市场假说和均值回归假说的背景下，本研究检验了随机游走假说对某些选定的软农产品价格的有效性。这项研究采用了一系列传统的单位根测试，基于GARCH的模型以及基于频率的新颖小波分析，以分析1986年1月6日至2018年12月29日的每日数据。与其他仅采用传统时域单位的现有研究相反从根检验来看，我们的结果表明，商品价格疲软意味着均值正在回升，这表明存在投资者潜在的超额收益。总体而言，我们的结果表明，当我们将异质性和频域因素纳入模型时，所选的软商品系列是无效的。我们的研究是对现有研究的改进，因为我们使用时域和频域估计来分析数据。此外，与其他没有提供结构性突破的研究不同，本研究提供了具有全球社会经济空间重大事件的结构性突破日期，这对于确定泡沫日期和商品价格泡沫的潜在迹象至关重要。我们的发现对投资者和政策制定者具有重要的影响，已收到：2019年1月第一次修订：2019年5月已接受：2019年11月DOI：10.14254 / 20718330.2019 / 12-4 / 7国际研究科学期刊©国际研究基金会，2019©CSR，2019 Adedoyin Isola Lawal，Oluwasola Emmanuel Omoju，Abiola Ayopo Babajide，Abiola John Asaleye测试农产品价格均值回归：