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

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  • Mazouz, Khelifa
  • Wang, Jian
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    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.

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    Bibliographic Info

    Paper provided by Agricultural Economics Society in its series 88th Annual Conference, April 9-11, 2014, AgroParisTech, Paris, France with number 169763.

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    Date of creation: Apr 2014
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    Handle: RePEc:ags:aesc14:169763

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    Related research

    Keywords: Commodity price behaviour; market efficiency; underreaction; overreaction; Demand and Price Analysis; Marketing; Risk and Uncertainty; C13; C22; G14;

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