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

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.


Issue Date:
2014-04
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/169763
Total Pages:
19
JEL Codes:
C13; C22; G14




 Record created 2017-04-01, last modified 2017-04-26

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