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Weekly momentum in the commodity futures market

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  • Kwon, Kyung Yoon
  • Kang, Jangkoo
  • Yun, Jaesun

Abstract

This paper investigates commodity futures momentums with various ranking periods on 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 various factors are controlled for, 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 speculative activity in the commodity futures market.

Suggested Citation

  • Kwon, Kyung Yoon & Kang, Jangkoo & Yun, Jaesun, 2020. "Weekly momentum in the commodity futures market," Finance Research Letters, Elsevier, vol. 35(C).
    • Handle: RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319308980
    DOI: 10.1016/j.frl.2019.101306
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    References listed on IDEAS

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    More about this item

    Keywords

    Commodity futures; momentum; weekly momentum; speculator; hedger;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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