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Abstract：
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 frequencies (from 1 min to 1 h) and two different sub-periods (pre-Covid-19 pandemic and during Covid-19 pandemic) in order to detect overreaction behavior which is defined as a large change of prices followed by proportional price reversals. Our empirical findings show that the overreaction hypothesis is confirmed for the considered commodity futures. Furthermore, both the number and the amplitude of overreactions is higher during the Covid-19 pandemic. Our findings also indicate that soft and metal commodities show much less overreactions than precious metals and especially energy commodities. In particular, crude oil futures exhibit a different overreaction behavior compared to other commodities since it has a higher number of negative than positive overreactions during the Covid-19 pandemic. We also find that the data frequency is independent of the overreacting behavior in both periods as the results continuously improve when having more observations due to higher frequencies. Finally, we find that extreme overreactions during the Covid-19 pandemic provide a great potential for profitable trading returns, which can be exploited by traders.
摘要：
本文的目的是基于2019年11月20日至2020年6月3日的日内数据，研究20种商品期货的过度反应行为，重点是新冠肺炎大流行的影响。对四个不同频率(从1分钟到1小时)和两个不同子时段(新冠肺炎大流行前和新冠肺炎大流行期间)的日内数据应用了动态和非参数方法，以检测过度反应行为，这被定义为价格的大幅变化，然后是成比例的价格反转。我们的实证结果表明，对于所考虑的商品期货，反应过度假设得到了证实。此外，在新冠肺炎大流行期间，过度反应的数量和幅度都较高。我们的发现还表明，与贵金属，尤其是能源商品相比，软商品和金属商品的过度反应要少得多。特别是,与其他商品相比，原油期货表现出不同的过度反应行为，因为在新冠肺炎大流行期间，原油期货的负面反应数量高于正面反应数量。我们还发现，数据频率与两个时期的过度反应行为无关，因为当由于更高的频率而进行更多的观察时，结果会不断改善。最后,我们发现，新冠肺炎大流行期间的极端过度反应为有利可图的交易回报提供了巨大的潜力，可以被交易者利用。
