An analysis of commodity markets: What gain for investors?

Paresh Narayan (), Seema Narayan () and Susan Sharma

Journal of Banking & Finance, 2013, vol. 37, issue 10, 3878-3889

Abstract: In this paper we study whether the commodity futures market predicts the commodity spot market. Using historical daily data on four commodities—oil, gold, platinum, and silver—we find that they do. We then show how investors can use this information on the futures market to devise trading strategies and make profits. In particular, dynamic trading strategies based on a mean–variance investor framework produce somewhat different results compared with those based on technical trading rules. Dynamic trading strategies suggest that all commodities are profitable and profits are dependent on structural breaks. The most recent global financial crisis marked a period in which commodity profits were the weakest.

Keywords: Commodity futures; Commodity spot; Trading strategies; Profits (search for similar items in EconPapers)
JEL-codes: C22 G11 G17 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (117)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:37:y:2013:i:10:p:3878-3889

DOI: 10.1016/j.jbankfin.2013.07.009

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