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Commodity futures price behaviour following large one-day price changes

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  • Khelifa Mazouz
  • Jian Wang

Abstract

This study examines individual commodity futures price reactions 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 eight commodity future prices following negative surprises. However, after making appropriate systematic risk and conditional heteroscedasticity adjustments, we show that almost all commodity futures react efficiently to shocks.

Suggested Citation

  • Khelifa Mazouz & Jian Wang, 2014. "Commodity futures price behaviour following large one-day price changes," Applied Financial Economics, Taylor & Francis Journals, vol. 24(14), pages 939-948, July.
    • Handle: RePEc:taf:apfiec:v:24:y:2014:i:14:p:939-948
    DOI: 10.1080/09603107.2014.914140
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