Commodity futures price behaviour following large one-day price changes
Mazouz, Khelifa; Wang, Jian
Dr Jian Wang J.Wang@hull.ac.uk
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.
|Publication Date||Jul 18, 2014|
|Journal||Applied financial economics|
|Publisher||Taylor & Francis (Routledge)|
|Peer Reviewed||Peer Reviewed|
|APA6 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|
|Keywords||Commodity price behaviour; Market efficiency; Underreaction; Overreaction|
|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...80/09603107.2014.914140|
©2015 University of Hull
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