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

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... Read More