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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 publié
Date
2013-10
Journal name
Applied Economics Letters
Volume
20
Number
15
Publisher
Taylor & Francis
Pages
1383-1402
Publication identifier
http://dx.doi.org/10.1080/13504851.2013.815300
Metadata
Show full item record
Author(s)
Ielpo, Florian
Gatumel, Mathieu
Chevallier, Julien
Abstract (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-switching
JEL
C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
C58 - Financial Econometrics
G10 - General
Q02 - Commodity Markets

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