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

本文探讨了在两个商品市场中具有异常收益特征的日期以及随后的价格特征的价格（动量和逆势）效应及其时间参数。具体而言，使用2009年1月1日至31.03.2020期间的每日黄金和石油价格数据，检验以下假设：（H1）在检测到异常返还日和该日结束之间存在时间间隔（H2 ）异常回报发生后的第二天有价格影响；（H3）1天异常收益后的价格影响具有可识别的时间参数；（H4）检测到的定时参数可以用来“击败市场”。为了这些目的，平均分析t测试，CAR和交易模拟方法被使用。主要结果可总结如下。价格倾向于朝着异常收益的方向移动，直到发生这种情况的一天结束为止。通常可以在一天结束之前通过估计特定的计时参数来检测异常回报的存在，并可以检测到动量效应。在第二天，检测到两种不同的价格模式：石油价格的动量效应和黄金价格的逆势效应。这些影响在时间上受到限制，并且估计了相应的时序参数。交易模拟显示，通过对时序参数进行适当的校准，可以利用这些效应来产生异常利润。