Are commodity futures markets short-term efficient? An empirical investigation
AbstractThis 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.
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Bibliographic InfoPaper provided by Agricultural Economics Society in its series 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France with number 169763.
Date of creation: Apr 2014
Date of revision:
Commodity price behaviour; market efficiency; underreaction; overreaction; Demand and Price Analysis; Marketing; Risk and Uncertainty; C13; C22; G14;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-06-28 (All new papers)
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