Time-series momentum in China's commodity futures market

Cited 6 time in webofscience Cited 0 time in scopus
  • Hit : 263
  • Download : 0
This study examines the time-series momentum in China's commodity futures market. We find that a time-series momentum strategy outperforms classical passive long and cross-sectional momentum strategies in terms of the Sharpe ratio, risk-adjusted excess returns, and cumulative returns. The time-series momentum strategy with a 1-month look-back period and a 1-month holding period exhibits the best performance. We observe clear time-series momentum patterns and find that the time-series momentum strategy is effective in the Chinese commodity futures market. However, the momentum lasts for less time in China than in the United States because China's futures market seems to have a greater number of speculative investors.
Publisher
WILEY
Issue Date
2019-12
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.39, no.12, pp.1515 - 1528

ISSN
0270-7314
DOI
10.1002/fut.22053
URI
http://hdl.handle.net/10203/270020
Appears in Collection
MT-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 6 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0