Commodity futures price behaviour following large one-day price changes

Mazouz, Khelifa ORCID: https://orcid.org/0000-0001-6711-1715 and Wang, Jian 2014. Commodity futures price behaviour following large one-day price changes. Applied Financial Economics 24 (14) , pp. 939-948. 10.1080/09603107.2014.914140

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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 eight commodity future prices following negative surprises. However, after making appropriate systematic risk and conditional heteroscedasticity adjustments, we show that almost all commodity futures react efficiently to shocks.

Item Type:	Article
Date Type:	Published Online
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HF Commerce H Social Sciences > HG Finance
Additional Information:	PDF uploaded in accordance with publisher policy at http://www.sherpa.ac.uk/romeo/issn/0960-3107/ [accessed 10/10/2014]
Publisher:	Routledge
ISSN:	0960-3107
Date of First Compliant Deposit:	30 March 2016
Last Modified:	06 Nov 2023 20:19
URI:	https://orca.cardiff.ac.uk/id/eprint/61689

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