Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact

The objective of this paper is to examine the overreaction behavior of 20 commodity futures based on intraday data from November 20, 2019 to June 3, 2020 with a focus on the impact of the Covid-19 pandemic. A dynamic and non-parametric approach is applied on intraday data for four different frequenc...

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Veröffentlicht in:	Resources policy 2021-06, Vol.71, p.101966-101966, Article 101966
Hauptverfasser:	Borgards, Oliver, Czudaj, Robert L., Hoang, Thi Hong Van
Format:	Artikel
Sprache:	eng
Schlagworte:	Behavior Commodities Commodity futures Coronaviruses COVID-19 Data Empirical analysis Futures market Mean reversion Metals Overreaction Pandemics Petroleum Prices Trading Trading strategy Turning point
Online-Zugang:	Volltext
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