This paper considers whether there were periodically collapsing rational speculative bubbles in commodity prices over a forty year period from the late 1960s. We apply a switching regression approach to a broad range of commodities using two different measures of fundamental values – estimated...

This paper constructs the synthetic stocks with put-call parity and compares the overnight and intraday returns of the synthetic and actual stocks in Chinese markets. The synthetic stocks have higher (lower) overnight (intraday) returns than the underlying stocks. We relate the findings to the...

In this paper, we examine the temporal stability of the evidence for two commodity futures pricing theories. We investigate whether the forecast power of commodity futures can be attributed to the extent to which they exhibit seasonality and we also consider whether there are time varying...