Gold and oil prices: abnormal returns, momentum and contrarian effects

Abstract This paper explores price (momentum and contrarian) effects their timing parameters on the days characterised by abnormal returns following ones in two commodity markets. Specifically, using daily gold oil data over period 01.01.2009–31.03.2020 hypotheses are tested: (H1) there is a time gap between detection of an return day end that day, (H2) after occur; (H3) 1-day have identifiable parameters; (H4) detected can be used to “beat market”. For these purposes average analysis, t tests, CAR trading simulation approaches used. The main results summarised as follows. Prices tend move direction till when occur. presence usually before estimating specific parameters, momentum effect detected. On different patterns detected: for prices contrarian prices, respectively. These limited time, corresponding estimated. Trading simulations show exploited generate profits with appropriate calibration parameters.