Analysing large one-day commodity futures price changes. (1st January 2014)

• Record Type: Journal Article
• Authors: Hua, Wei; Wei, Peihwang
• Is Part Of: International journal of bonds and derivatives. Volume 1:Number 2(2014)
• Page Start: 134
• Page End: 154
• Publication Date: 2014-01-01
• Subjects: large price change -- maturity effect -- seasonal effect -- derivative; Bonds -- Periodicals; Derivative securities -- Periodicals; Capital market -- Periodicals; 332.63205
• DOI: 10.1504/IJBD.2014.067401
• Languages: English
• ISSNs: 2050-2281

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.