Momentum in international commodity futures markets

Jangkoo Kang, Kyung Yoon Kwon

Research output: Contribution to journalArticlepeer-review

20 Citations (Scopus)


This paper examines whether commodity futures momentum can predict business cycles in the US, China, UK, Japan, and India. Momentum as a risk factor may play a role as a state variable in the spirit of Liew and Vassalou (2000). We find significant and negative predictability of commodity futures momentum, although the basis factor of the commodity futures markets shows insignificant results. Moreover, we find that commodity futures momentum is an independent factor that cannot be fully explained by traditional risk factors, macroeconomic variables, or commodity sector momentum.
Original languageEnglish
Pages (from-to)803-835
Number of pages33
JournalJournal of Futures Markets
Issue number8
Early online date1 Feb 2017
Publication statusPublished - 31 Aug 2017


  • commodity futures markets
  • risk premium
  • business cycles


Dive into the research topics of 'Momentum in international commodity futures markets'. Together they form a unique fingerprint.

Cite this