Results from previous studies testing for under-reaction and overreaction in the commodity futures market are mixed and inconclusive. Using a data of more than 20 categories of future contacts ranging from agricultural, metal and energy, we have found significant evidence of under-reaction in food and agricultural commodities but not in the energy and metal sector. It is also found that those relatively inactive commodity future contracts tend to have a stronger tendency to under-react than commodity future contracts are very actively traded. The result also agrees with the behavioral hypothesis that under-reaction is caused by gradual incorporation of information among investors.
|Commitee:||Chua, Choong Tze, Goh, Jeremy, Tu, Jun|
|School:||Singapore Management University (Singapore)|
|School Location:||Republic of Singapore|
|Source:||MAI 52/03M(E), Masters Abstracts International|
|Subjects:||Agricultural economics, Finance|
|Keywords:||Behavioral finance, Commodity futures, Overreaction, Under-reaction|
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