Weekly momentum in the commodity futures market

Kyung Yoon Kwon, Jangkoo Kang, Jaesun Yun

Research output: Contribution to journalArticle

Abstract

This paper investigates commodity futures momentums with various ranking periods in a weekly basis. Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. The weekly momentum remains highly significant even after controlling for various factors, such as carry, equity momentum, or hedging pressure. Our results suggest that the anomalous returns from the traditional 12-month momentum strategy in the commodity futures markets mainly stem from the strong predictability of the past week’s return. Lastly, we suggest that the weekly momentum is closely related to the speculative activity in the commodity futures market.
LanguageEnglish
JournalFinance Research Letters
Early online date7 Oct 2019
DOIs
Publication statusE-pub ahead of print - 7 Oct 2019

Fingerprint

Commodities
Futures markets
Momentum
Commodity futures
Equity markets
Equity
Momentum strategies
Factors
Ranking
Predictability
Hedging
Reversal

Keywords

  • commodity futures
  • momentum
  • weekly momentum
  • speculators
  • hedgers

Cite this

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title = "Weekly momentum in the commodity futures market",
abstract = "This paper investigates commodity futures momentums with various ranking periods in a weekly basis. Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. The weekly momentum remains highly significant even after controlling for various factors, such as carry, equity momentum, or hedging pressure. Our results suggest that the anomalous returns from the traditional 12-month momentum strategy in the commodity futures markets mainly stem from the strong predictability of the past week’s return. Lastly, we suggest that the weekly momentum is closely related to the speculative activity in the commodity futures market.",
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Weekly momentum in the commodity futures market. / Kwon, Kyung Yoon; Kang, Jangkoo; Yun, Jaesun.

In: Finance Research Letters, 07.10.2019.

Research output: Contribution to journalArticle

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AU - Kang, Jangkoo

AU - Yun, Jaesun

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N2 - This paper investigates commodity futures momentums with various ranking periods in a weekly basis. Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. The weekly momentum remains highly significant even after controlling for various factors, such as carry, equity momentum, or hedging pressure. Our results suggest that the anomalous returns from the traditional 12-month momentum strategy in the commodity futures markets mainly stem from the strong predictability of the past week’s return. Lastly, we suggest that the weekly momentum is closely related to the speculative activity in the commodity futures market.

AB - This paper investigates commodity futures momentums with various ranking periods in a weekly basis. Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. The weekly momentum remains highly significant even after controlling for various factors, such as carry, equity momentum, or hedging pressure. Our results suggest that the anomalous returns from the traditional 12-month momentum strategy in the commodity futures markets mainly stem from the strong predictability of the past week’s return. Lastly, we suggest that the weekly momentum is closely related to the speculative activity in the commodity futures market.

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KW - speculators

KW - hedgers

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