Is there a time-series momentum effect in the Asian crude oil futures market?

Hao Zhong, Xiaoxiao He and Yuqi Li

Pacific-Basin Finance Journal, 2024, vol. 86, issue C

Abstract: Huang et al. (2020) first confirmed that the time-series momentum (TSM) effect documented by several recent influential studies is questionable for a large cross-section of futures. We replicate their study and further examine whether TSM exists in the Asian-Pacific crude oil futures markets. The empirical results do not support the existence of TSM. Although the pooled regression generates large and significant t-statistic, it is not statistically reliable as it is smaller than the statistical values of the wild and pairs bootstraps. In terms of profitability, further evidence suggests that TSM does not significantly outperform the simple time series history strategy without any predictability.

Keywords: Time series momentum; Crude oil futures; Bootstrap method; Asian market (search for similar items in EconPapers)
JEL-codes: G12 G13 G14 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002245

DOI: 10.1016/j.pacfin.2024.102472

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