Calendar anomalies in commodity markets for natural resources: Evidence from India

Damini Chhabra and Mohit Gupta

Resources Policy, 2022, vol. 79, issue C

Abstract: The study investigates the existence of wide range of fifteen calendar anomalies in daily log returns of seven metal futures (aluminium, copper, gold, lead, nickel, silver, zinc) and two energy-based futures (crude oil and natural gas) quoted on Multi-Commodity Exchange (MCX) of India. Using daily closing prices of all selected commodity futures over the period from 2008 to 2018, evidences have been found for the presence of calendar anomalies in commodity market. However, we have also found disappearance of calendar anomalies in the recent years. The results of the study have important implications for the various market participants in commodity markets.

Keywords: Commodity futures market; Calendar anomalies; Day of the week effect; Month of the year effect; Week of the month effect; Day after future/ option expiry effect (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 L61 Q02 Q40 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004627

DOI: 10.1016/j.resourpol.2022.103019

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