Commodity futures price behaviour following large one-day price changes

Mazouz, Khelifa; Wang, Jian

Abstract

This study examines individual commodity futures price reactions to large one-day price changes, or “shocks”. The mean-adjusted abnormal return model suggests that investors in 6 of the 18 commodity futures examined in this study either underreact or overreact to positive surprises. It also detects underreaction patterns in 8 commodity future prices following negative surprises. However, after making appropriate systematic risk and conditional heteroskedasticity adjustments, we show that almost all commodity futures react efficiently to shocks.

Citation

Mazouz, K., & Wang, J. (2014). Commodity futures price behaviour following large one-day price changes. Applied financial economics, 24(14), 939-948. https://doi.org/10.1080/09603107.2014.914140

• Acceptance Date: Jan 1, 2014
• Online Publication Date: May 21, 2014
• Publication Date: Jul 18, 2014
• Deposit Date: Mar 17, 2015
• Publicly Available Date: Mar 17, 2015
• Journal: Applied financial economics
• Print ISSN: 0960-3107
• Electronic ISSN: 1466-4305
• Publisher: Routledge
• Peer Reviewed: Peer Reviewed
• Volume: 24
• Issue: 14
• Pages: 939-948
• DOI: https://doi.org/10.1080/09603107.2014.914140
• Keywords: Commodity price behaviour; Market efficiency; Underreaction; Overreaction
• Public URL: https://hull-repository.worktribe.com/output/371703
• Publisher URL: http://www.tandfonline.com/doi/full/10.1080/09603107.2014.914140#abstract
• Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Applied financial economics on 21/05/2014, available online: http://wwww.tandfonline.com/10.1080/09603107.2014.914140