Investable commodity premia in China

Robert J. Bianchi, John Hua Fan and Tingxi Zhang

Journal of Banking & Finance, 2021, vol. 127, issue C

Abstract: We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights significantly boost the investment capacity of such premia without compromising its statistical and economic significance. Meanwhile, style integration delivers enhanced performance and improved opportunity sets. Furthermore, the observed investable premia are robust to execution lags, stop-loss, illiquidity, sub-period specifications, seasonality and transaction costs. They also offer portfolio diversification for investors. Finally, investable commodity premia in China reveal strong predictive ability with global real economic growth.

Keywords: China; Commodity futures; Momentum; Carry; Basis-momentum; Capacity; Investability (search for similar items in EconPapers)
JEL-codes: G13 G14 G15 N25 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:127:y:2021:i:c:s0378426621000856

DOI: 10.1016/j.jbankfin.2021.106127

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