Title: Analysing large one-day commodity futures price changes

Authors: Wei Hua; Peihwang Wei

Addresses: School of Finance, Nanjing Audit University, 86 Yushanxilu, Pukou District, Nanjing City, 211815, China ' Department of Economics and Finance, University of New Orleans, 2000 Lakeshore Drive, New Orleans, LA 70148, USA

Abstract: This paper analyses large one-day price changes in 26 US commodity futures, and it represents the first such attempt in commodity futures to our knowledge. Our results in general indicate a greater tendency for large changes to occur at the open, in commodity production months, and near futures maturity. We interpret these results as a consequence of information arrival. Subsequent to large price changes, we find a tendency for reversal, but the magnitude of reversal is not strong and can be explained by the market factor.

Keywords: large price changes; maturity effect; seasonal effect; derivatives; one-day commodity futures; futures price changes; information arrival.

DOI: 10.1504/IJBD.2014.067401

International Journal of Bonds and Derivatives, 2014 Vol.1 No.2, pp.134 - 154

Received: 07 Jul 2014
Accepted: 18 Jul 2014

Published online: 14 Feb 2015 *

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