Chinese Superstition in US Commodity Trading

Abstract

We examine the potential effect of Chinese superstition on the prices of four commodities traded in the US commodity market using daily data from January 1994 to September 2012. We focus on market responses to days that Chinese traders superstitiously deem as either lucky or unlucky. Our results suggest that day 4 in the month (considered unlucky) is associated with significantly lower returns for three commodities (copper, cotton and soybean). The evidence controls for the possible effects of other anomalies and emerges despite the fact that China buys only about half of the US total exports of these commodities. These results seem in conflict with an efficient US commodity market as it opens the possibility for formulating profitable trading rules based on day 4 trading.