Abstract
Over the past thirty-five years, economists have shown a great deal of interest in the stochastic behaviour of financial asset prices. Mostly concentrating on stock prices, it has been shown that stock prices show signs of both random walk and stationarity. Returns are found to be leptokurtic, rather than normally distributed. The behaviour of commodity spot prices has attracted less interest, and studies have only been made of a few goods each time. This paper takes a broader perspective, studying the market prices of almost three hundred different commodities from 1970 and onwards. Results are easily summarised. For most commodities, we are not able to reject a unit root, whereas normality is always rejected due to excess leptokurtosis. Commodities are, however, distinguished by rather infrequent price changes, questioning the use of continuous distributions in describing the stochastic behaviour.