Analysing large one-day commodity futures price changes
by Wei Hua; Peihwang Wei
International Journal of Bonds and Derivatives (IJBD), Vol. 1, No. 2, 2014

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.

Online publication date: Sat, 14-Feb-2015

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Bonds and Derivatives (IJBD):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com