Do momentum-based trading strategies work in the commodity futures markets?

By Paresh Kumar Narayan, H. A. Ahmed, Seema W. Narayan. 2015

130 citations recorded by the source corpus.

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

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/35170b5ea32385b353a32c695ee86ceea49a3475

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Can economic policy uncertainty and investors sentiment predict commodities returns and volatility (2017, background): “…view commodities as a hedge and safe haven for their stock portfolios and thus both researchers and investors have shown renewed interest in the commodity markets to understanding the commodities return variations during bullish and bearish markets (Bianchi et al. 2015, Narayan et al. 2015).”