Understanding momentum in commodity markets
Julien Chevallier,
Mathieu Gatumel and
Florian Ielpo
Applied Economics Letters, 2013, vol. 20, issue 15, 1383-1402
Abstract:
This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995--2012 at a daily frequency. The results shed light on the key differences between commodities and standard assets with regard to the presence of trends, mean-reverting behaviour and number of regimes that would need to be accurately taken into account to build profitable trend-following strategies. The results are also of economic significance for researchers interested in the modelling of commodity time series.
Date: 2013
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DOI: 10.1080/13504851.2013.815300
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