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2013
- handle: 10670/1.yok05b
- hal: hal-00947001
Mots-clés
momentum commodities Markov-switchingSujets proches
Products, Commercial Economic goods Merchandise CommoditiesCiter ce document
Mathieu Gatumel et al., « Understanding momentum in commodity markets », HAL-SHS : droit et gestion, ID : 10670/1.yok05b
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Résumé
This article investigates momentum strategies in commodity markets. Using a Markov-switching model and formal tests for the number of regimes in the data, we identify momentum trends for a variety of commodities, exchange rates, interest rates and equities. The data cover the period 1995-2012 at a daily frequency. The results shed light on the key differences between commodities and standard assets with regard to the presence of trends, mean-reverting behaviour and number of regimes that would need to be accurately taken into account to build profitable trend-following strategies. The results are also of economic significance for researchers interested in the modelling of commodity time series.