Are commodity futures markets short-term efficient? An empirical investigation

Khelifa Mazouz and Jian Wang

No 169763, 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France from Agricultural Economics Society

Abstract: This study examines individual commodity futures price reaction 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 conducting appropriate systematic risk and conditional heteroskedasticity adjustments, we show that almost all commodity futures react efficiently to shocks.

Keywords: Demand and Price Analysis; Marketing; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 19
Date: 2014-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aesc14:169763

DOI: 10.22004/ag.econ.169763

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