Dissertation/Thesis Abstract

Testing Overreaction and Under-reaction in the Commodity Futures Market
by Dai, Jingyu, M.Sc., Singapore Management University (Singapore), 2012, 45; 1548068
Abstract (Summary)

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.

Indexing (document details)
Advisor: Cao, Jerry
Commitee: Chua, Choong Tze, Goh, Jeremy, Tu, Jun
School: Singapore Management University (Singapore)
Department: Business
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
Publication Number: 1548068
ISBN: 978-1-303-52369-4
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