Weekly momentum in the commodity futures market

被引：4

作者：

Kwon, Kyung Yoon ^{[1
]}

Kang, Jangkoo ^{[2
]}

Yun, Jaesun ^{[2
]}

机构：

[1] Univ Strathclyde, Strathclyde Business Sch, Dept Accounting & Finance, 199 Cathedral St, Glasgow G4 0QU, Lanark, Scotland

[2] Korea Adv Inst Sci & Technol, Coll Business, 85 Hoegiro, Seoul 02455, South Korea

来源：

FINANCE RESEARCH LETTERS | 2020年 / 35卷

关键词：

Commodity futures; momentum; weekly momentum; speculator; hedger; RISK; STRATEGIES; RETURNS;

D O I：

10.1016/j.frl.2019.101306

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates commodity futures momentums with various ranking periods on a weekly basis. Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. The weekly momentum remains highly significant, even after various factors are controlled for, such as carry, equity momentum, or hedging pressure. Our results suggest that the anomalous returns from the traditional 12-month momentum strategy in the commodity futures markets mainly stem from the strong predictability of the past week's return. Lastly, we suggest that the weekly momentum is closely related to speculative activity in the commodity futures market.

引用

页数：8

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