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Calendar anomalies in commodity markets for natural resources: Evidence from India

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  • Chhabra, Damini
  • Gupta, Mohit

Abstract

The study investigates the existence of wide range of fifteen calendar anomalies in daily log returns of seven metal futures (aluminium, copper, gold, lead, nickel, silver, zinc) and two energy-based futures (crude oil and natural gas) quoted on Multi-Commodity Exchange (MCX) of India. Using daily closing prices of all selected commodity futures over the period from 2008 to 2018, evidences have been found for the presence of calendar anomalies in commodity market. However, we have also found disappearance of calendar anomalies in the recent years. The results of the study have important implications for the various market participants in commodity markets.

Suggested Citation

  • Chhabra, Damini & Gupta, Mohit, 2022. "Calendar anomalies in commodity markets for natural resources: Evidence from India," Resources Policy, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004627
    DOI: 10.1016/j.resourpol.2022.103019
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    More about this item

    Keywords

    Commodity futures market; Calendar anomalies; Day of the week effect; Month of the year effect; Week of the month effect; Day after future/ option expiry effect;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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