Momentum in International Commodity Futures Markets

This paper examines whether commodity futures momentum can predict business cycles in the US, China, UK, Japan, and India. Momentum as a risk factor may play a role as a state variable in the spirit of Liew and Vassalou (). We find significant and negative predictability of commodity futures momentum, although the basis factor of the commodity futures markets shows insignificant results. Moreover, we find that commodity futures momentum is an independent factor that cannot be fully explained by traditional risk factors, macroeconomic variables, or commodity sector momentum. (c) 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:803-835, 2017
Publisher
WILEY-BLACKWELL
Issue Date
2017-08
Language
English
Keywords

MUTUAL FUND PERFORMANCE; BOOK-TO-MARKET; RISK-FACTORS; RETURNS; STRATEGIES; EARNINGS; GROWTH; SIZE

Citation

JOURNAL OF FUTURES MARKETS, v.37, no.8, pp.803 - 835

ISSN
0270-7314
DOI
10.1002/fut.21834
URI
http://hdl.handle.net/10203/225129
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
  • Hit : 64
  • Download : 0
  • Cited 0 times in thomson ci
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡClick to seewebofscience_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0