Publication date: Available online 31 December 2019
Source: Finance Research Letters
Author(s): John Hua Fan, Neda Todorova
Abstract
This study investigates the presumed behavioral biases of market participants in the commodity futures markets of China. In light of unique institutional settings and excessive speculation, we document the presence of positive feedback trading, noise trading and herd mentality in a large sample of 24 commodities with the highest trading intensity. Our findings shed light on the effectiveness of price limits and explain the remarkable profitability of momentum strategies.