Time series momentum in the Chinese commodity futures market

Abstract

In the last decade, numerous studies have examined momentum in the futures markets in order to show the significance of momentum strategies, predominantly focusing on cross-sectional momentum, in many countries around the world. Recent studies on time series momentum in the futures markets suggest that the time series momentum strategy performs better than the cross-sectional momentum strategy in developed countries. China has become a major participant in the world commodity markets with its rapid economic growth. This study examines time series momentum in the Chinese commodity futures market. It shows that the time series momentum strategy performs the best with the one-month look-back period and one-month holding period. Furthermore, this strategy performs better than the passive long and cross-sectional momentum strategies in the Chinese futures market from the perspective of Sharpe ratios, risk-adjusted excess returns, and cumulative returns.