Commodity futures price behaviour following large one-day price changes

Khelifa Mazouz and Jian Wang

Applied Financial Economics, 2014, vol. 24, issue 14, 939-948

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.

Date: 2014
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DOI: 10.1080/09603107.2014.914140

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