Do Momentum-Based Trading Strategies Work in the Commodity Futures Markets?
This article examines whether momentum‐based trading strategies work in the commodity futures markets. Using a wide range of moving average trading rules, commodities are ranked from best‐ to worst‐performing. Then investors are allowed to take long positions in best‐performing commodities and a sho...
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| Veröffentlicht in: | The journal of futures markets 2015-09, Vol.35 (9), p.868-891 |
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| container_end_page | 891 |
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| container_title | The journal of futures markets |
| container_volume | 35 |
| creator | Narayan, Paresh Kumar Ahmed, Huson Ali Narayan, Seema |
| description | This article examines whether momentum‐based trading strategies work in the commodity futures markets. Using a wide range of moving average trading rules, commodities are ranked from best‐ to worst‐performing. Then investors are allowed to take long positions in best‐performing commodities and a short position in the least attractive commodity. Findings suggest that investors can earn statistically significant profits from the commodity futures markets. Moreover, it is found that short‐selling improves commodity profits and profits are both data frequency and sub‐sample dependent. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:868–891, 2015 |
| doi_str_mv | 10.1002/fut.21685 |
| format | Article |
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| language | eng |
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| source | Wiley Online Library Journals Frontfile Complete; EBSCOhost Business Source Complete |
| subjects | Commodities Commodities trading Commodity market Commodity markets Data analysis Economic analysis Futures Futures market Profit Profits Statistical analysis Studies |
| title | Do Momentum-Based Trading Strategies Work in the Commodity Futures Markets? |
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