Are commodity futures markets short-term efficient? An empirical investigation
| dc.creator | Mazouz, Khelifa | |
| dc.creator | Wang, Jian | |
| dc.date | 2017-04-01T15:17:06Z | |
| dc.date.accessioned | 2026-07-09T07:59:42Z | |
| dc.description | 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. | |
| dc.identifier | doi:10.22004/ag.econ.169763 | |
| dc.identifier | https://ageconsearch.umn.edu/record/169763/files/Jian_Wang_Commodity%20futures%20market%20efficiency.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/169763 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/594481 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/169763 | |
| dc.title | Are commodity futures markets short-term efficient? An empirical investigation | |
| dc.type | Text |