Understanding momentum in commodity markets

Mathieu Gatumel (mathieu.gatumel@univ-savoie.fr) and Florian Ielpo
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Mathieu Gatumel: IREGE - Institut de Recherche en Gestion et en Economie - USMB [Université de Savoie] [Université de Chambéry] - Université Savoie Mont Blanc

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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.

Keywords: momentum; commodities; Markov-switching (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

Published in Applied Economics, 2013, 20 (15), pp.1383-1402

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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00947001

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