EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2013.815300 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Understanding momentum in commodity markets (2013)
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:taf:apeclt:v:20:y:2013:i:15:p:1383-1402

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2019-11-24
Handle: RePEc:taf:apeclt:v:20:y:2013:i:15:p:1383-1402