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
TypeArticle accepté pour publication ou publié
Journal nameApplied Economics Letters
Taylor & Francis
MetadataShow full item record
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 / KeywordsMomentum; commodities; Markov-switching
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