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Commodity futures price behaviour following large one-day price changes

Mazouz, Khelifa; Wang, Jian

Authors

Khelifa Mazouz



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 Taylor & Francis (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

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