Seasonal patterns and calendar anomalies in the commodity market for natural resources

Mahmoud Qadan, David Y. Aharon and Ron Eichel

Resources Policy, 2019, vol. 63, issue C, -

Abstract: This study investigates whether a wide range of 25 anomalies documented in the finance literature with regard to equities exist in nine natural resources that include precious metals and energy commodities (gold, silver, palladium, platinum, copper, zinc and energy-based resources: oil, heating oil, and natural gas). Using daily, weekly and monthly data for 1986 to 2018, we find evidence of the existence of many of these anomalies in the commodity market. The results, in many cases, are particularly significant after the earlier periods of the 2000s, during the financialization of commodities era when many international portfolio and hedge fund managers, as well as retail investors, increased their exposure to commodities. Our results are robust for different estimation procedures and subsamples.

Keywords: Calendar anomalies; Commodities; Gold; Silver; Platinum; Palladium; Copper; Precious metals; Seasonal patterns; Oil; Heating oil; Natural gas (search for similar items in EconPapers)
JEL-codes: G10 L61 Q02 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:63:y:2019:i:c:4

DOI: 10.1016/j.resourpol.2019.101435

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