Abstract
The study investigates the existence of wide range of fifteen calendar anomalies in daily log returns of seven metal futures (aluminium, copper, gold, lead, nickel, silver, zinc) and two energy-based futures (crude oil and natural gas) quoted on Multi-Commodity Exchange (MCX) of India. Using daily closing prices of all selected commodity futures over the period from 2008 to 2018, evidences have been found for the presence of calendar anomalies in commodity market. However, we have also found disappearance of calendar anomalies in the recent years. The results of the study have important implications for the various market participants in commodity markets.
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