<p> 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.</p>
| Identifer | oai:union.ndltd.org:PROQUEST/oai:pqdtoai.proquest.com:1548068 |
| Date | 28 December 2013 |
| Creators | Dai, Jingyu |
| Publisher | Singapore Management University (Singapore) |
| Source Sets | ProQuest.com |
| Language | English |
| Detected Language | English |
| Type | thesis |
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