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

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  • Qadan, Mahmoud
  • Aharon, David Y.
  • Eichel, Ron

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.

Suggested Citation

  • Qadan, Mahmoud & Aharon, David Y. & Eichel, Ron, 2019. "Seasonal patterns and calendar anomalies in the commodity market for natural resources," Resources Policy, Elsevier, vol. 63(C), pages 1-1.
    • Handle: RePEc:eee:jrpoli:v:63:y:2019:i:c:4
    DOI: 10.1016/j.resourpol.2019.101435
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    References listed on IDEAS

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    1. Graham, John R. & Harvey, Campbell R., 2001. "The theory and practice of corporate finance: evidence from the field," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 187-243, May.
    2. Kopacz, Michał & Sobczyk, Eugeniusz J. & Galica, Dominik, 2018. "The impact of variability and correlation of selected geological parameters on the economic assessment of bituminous coal deposits with use of non-parametric bootstrap and copula-based Monte Carlo sim," Resources Policy, Elsevier, vol. 55(C), pages 171-183.
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    Citations

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    Cited by:

    1. Yanbo Zhang & Mengkun Liang & Haiying Ou, 2024. "Prediction of Precious Metal Index Based on Ensemble Learning and SHAP Interpretable Method," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3243-3278, December.
    2. Li, Wenhui & Zhu, Qi & Wen, Fenghua & Nor, Normaziah Mohd, 2022. "The evolution of day-of-the-week and the implications in crude oil market," Energy Economics, Elsevier, vol. 106(C).
    3. Qadan, Mahmoud & Aharon, David Y. & Eichel, Ron, 2022. "Seasonal and Calendar Effects and the Price Efficiency of Cryptocurrencies," Finance Research Letters, Elsevier, vol. 46(PA).
    4. Nekhili, Ramzi & Sultan, Jahangir & Mensi, Walid, 2021. "Co-movements among precious metals and implications for portfolio management: A multivariate wavelet-based dynamic analysis," Resources Policy, Elsevier, vol. 74(C).
    5. Chhabra, Damini & Gupta, Mohit, 2022. "Calendar anomalies in commodity markets for natural resources: Evidence from India," Resources Policy, Elsevier, vol. 79(C).
    6. Potrykus Marcin & Augustynowicz Urszula, 2024. "The “autumn effect” in the gold market—does it contradict the Adaptive Market Hypothesis?," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 60(3), pages 157-172.
    7. Algieri, Bernardina & Lawuobahsumo, Kokulo & Leccadito, Arturo, 2024. "Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets," LIDAM Discussion Papers LFIN 2024001, Université catholique de Louvain, Louvain Finance (LFIN).
    8. Menéndez-García, Luis Alfonso & García-Nieto, Paulino José & García-Gonzalo, Esperanza & Sánchez Lasheras, Fernando, 2024. "Time series analysis for COMEX platinum spot price forecasting using SVM, MARS, MLP, VARMA and ARIMA models: A case study," Resources Policy, Elsevier, vol. 95(C).
    9. Tang, Wenjin & Bu, Hui & Ji, Yuqiong & Li, Zhongfei, 2024. "Market uncertainty and information content in complex seasonality of prices," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
    10. Cordero, Arkangel M., 2023. "Community and aftershock: New venture founding in the wake of deadly natural disasters," Journal of Business Venturing, Elsevier, vol. 38(2).

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    More about this item

    Keywords

    Calendar anomalies; Commodities; Gold; Silver; Platinum; Palladium; Copper; Precious metals; Seasonal patterns; Oil; Heating oil; Natural gas;
    All these keywords.

    JEL classification:

    • L61 - Industrial Organization - - Industry Studies: Manufacturing - - - Metals and Metal Products; Cement; Glass; Ceramics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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