Zhang, H. orcid.org/0000-0002-8727-4906 and Urquhart, A. (2020) Do momentum and reversal strategies work in commodity futures? A comprehensive study. Review of Behavioral Finance, 12 (4). pp. 375-409. ISSN 1940-5979
Abstract
Purpose – Motivated by the debate on the patterns and sources of commodity futures returns, this paper investigates the performance of three investment trading strategies, namely, the momentum strategy of Jegadeesh and Titman (1993), the 52-week high momentum strategy of George and Hwang (2004) and the pairs trading strategy of Gatev et al. (2006) in the commodity futures market.
Design/methodology/approach – The three strategies are those given by Jegadeesh and Titman (1993), George and Hwang (2004) and Gatev et al. (2006), respectively.
Findings – The authors find that there is no significant reversal profit across 189 formation-holding windows for all the three strategies. However, there are statistical and economically significant momentum profits, and the profitability increases with the rising of formation-holding periods. Momentum returns are quite sensitive to market conditions but the crash of momentum returns is partly predictable. Return seasonality, risk and herding also provide partial explanation of the momentum profits.
Originality/value – The authors are the first to compare the performances of the pairs trading strategy of Gatev et al. (2006), the conventional momentum of Jegadeesh and Titman (1993), and the 52-week high momentum of George and Hwang (2004) under 189 formation-holding windows. Also, the authors are the first to investigate the association between herding behaviour and momentum returns in the commodity futures market.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © 2020 Emerald Group Publishing. This is an author-produced version of a paper subsequently published in Review of Behavioural Finance. This version is distributed under the terms of the Creative Commons Attribution-NonCommercial Licence (http://creativecommons.org/licenses/by-nc/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. You may not use the material for commercial purposes. |
Keywords: | Commodity futures; Momentum; Reversal; Formation-holding windows; Herding |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 27 Apr 2020 10:43 |
Last Modified: | 17 Sep 2021 09:13 |
Status: | Published |
Publisher: | Emerald |
Refereed: | Yes |
Identification Number: | 10.1108/rbf-05-2019-0067 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:159905 |