EconPapers    
Economics at your fingertips  
 

Are there exploitable trends in commodity futures prices?

Yufeng Han, Ting Hu and Jian Yang ()

Journal of Banking & Finance, 2016, vol. 70, issue C, 214-234

Abstract: We provide evidence that a simple moving average timing strategy, when applied to portfolios of commodity futures, can generate superior performance to the buy-and-hold strategy. The outperformance is very robust. It can survive the transaction costs in the futures markets, it is not concentrated in a particular subperiod, and is robust to short-sale constraints, alternative specifications of the moving average lag length, alternative construction of the continuous time-series of futures prices, and impact from data mining. The outperformance of the timing strategy is not driven by the backwardation and contango. It is stronger during recession and can not be explained by macroeconomic variables. Finally, we confirm that the outperformance of the moving average timing strategy in the commodity futures comes from the successful market timing.

Keywords: Commodity futures; Moving average; Timing; Predictability (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426616300450
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:70:y:2016:i:c:p:214-234

DOI: 10.1016/j.jbankfin.2016.04.013

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:jbfina:v:70:y:2016:i:c:p:214-234