Is there a time-series momentum effect in the Asian crude oil futures market?

IF 4.8 2区 经济学 Q1 BUSINESS, FINANCE
Hao Zhong, Xiaoxiao He, Yuqi Li
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引用次数: 0

Abstract

Huang et al. (2020) first confirmed that the time-series momentum (TSM) effect documented by several recent influential studies is questionable for a large cross-section of futures. We replicate their study and further examine whether TSM exists in the Asian-Pacific crude oil futures markets. The empirical results do not support the existence of TSM. Although the pooled regression generates large and significant t-statistic, it is not statistically reliable as it is smaller than the statistical values of the wild and pairs bootstraps. In terms of profitability, further evidence suggests that TSM does not significantly outperform the simple time series history strategy without any predictability.

亚洲原油期货市场是否存在时间序列动量效应?
我们复制了他们的研究,进一步考察了亚太地区原油期货市场是否存在时间序列动量效应。我们复制了他们的研究,并进一步考察了亚太地区原油期货市场是否存在时间序列动量效应。实证结果并不支持 TSM 的存在。虽然集合回归产生了较大且显著的-统计量,但由于它小于野生和对引导的统计值,因此在统计上并不可靠。在盈利能力方面,进一步的证据表明,TSM 并没有明显优于没有任何可预测性的简单时间序列历史策略。
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来源期刊
Pacific-Basin Finance Journal
Pacific-Basin Finance Journal BUSINESS, FINANCE-
CiteScore
6.80
自引率
6.50%
发文量
157
期刊介绍: The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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