Publication Type
Master Thesis
Version
publishedVersion
Publication Date
2012
Abstract
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.
Keywords
commodity futures, overreaction, under-reaction, agriculture, private information, behavioural finance
Degree Awarded
MSc in Finance
Discipline
Agribusiness | Portfolio and Security Analysis
Supervisor(s)
CAO, Jerry
Publisher
Singapore Management University
City or Country
Singapore
Citation
DAI, Jingyu.
Testing Overreaction and Under-reaction in the Commodity Futures Market. (2012).
Available at: https://ink.library.smu.edu.sg/etd_coll/89
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.