Purpose: This paper investigates calendar anomalies in commodity futures returns empirically in the context of developing economies such as India.

Design/methodology/approach: Data from 2004 to 2024 was acquired from MCX and NCDEX. Employing a dummy variable OLS regression model, the study examines the volatility of daily returns for the following commodities: energy (crude oil), base metals (aluminium, copper), bullion (gold, silver), and agriculture (guar seed).

Findings: The month of the year effect, day of the week effect, Diwali effect and autumn effect are evaluated, and the results show that there is evidence of significant anomalies in returns of several commodity futures markets in India.

Practical Implications: Calendar anomalies can be used by market participants to build trading strategies, control risk, and make informed decisions that improve the efficiency of the commodity market. Market players can use this information to optimize resource allocation, promote inclusive market participation, and promote sustainable growth in the commodity futures market.