Mazouz, Khelifa; Wang, Jian - In: Applied Financial Economics 24 (2014) 14, pp. 939-948
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...