Understanding momentum in commodity markets
Ielpo, Florian; Gatumel, Mathieu; Chevallier, Julien (2013), Understanding momentum in commodity markets, Applied Economics Letters, 20, 15, p. 1383-1402. http://dx.doi.org/10.1080/13504851.2013.815300
Type
Article accepté pour publication ou publiéDate
2013-10Journal name
Applied Economics LettersVolume
20Number
15Publisher
Taylor & Francis
Pages
1383-1402
Publication identifier
Metadata
Show full item recordAbstract (EN)
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.Subjects / Keywords
Momentum; commodities; Markov-switchingRelated items
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