Time-Varying Conditional Profitability of Momentum Strategies in Commodity Futures Market: Evidence from India

IF 0.8 Q4 BUSINESS, FINANCE

Asian Journal of Business and Accounting Pub Date : 2020-12-30 DOI:10.22452/AJBA.VOL13NO2.9

R. Jaiswal, Rashmi Uchil

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引用次数: 0

Abstract

ABSTRACT Manuscript type: Research paper Research aim: This study aims to provide fresh evidence on the presence of momentum profitability in the Indian commodity futures market. Design/Methodology/Approach: This study is based on a sample of highly traded commodity future contracts of the Indian commodity market over the period from 2006 to 2017. It applies the conditional multi-factor model to test the time-varying performance of momentum strategies. Research findings: This study confirms the existence of exceptionally high abnormal momentum profitability in the commodity futures market despite the presence of transaction costs. However, the application of conditional multi-factor model suggests that momentum profits are basically time-varying. The low and insignificant correlation of momentum portfolios with stocks and bonds confirm that relative strength momentum portfolios of commodity futures can be effectively used to create a well-diversified portfolio. Theoretical contribution/Originality: This study analyses the time-varying conditional profitability of momentum strategies for the commodity market of emerging economies such as India. It enriches the small group of studies conducted on commodity futures in the Indian context. The major contribution of the study is the use of conditional multi-factor model to assess the possible role of time-varying conditional alpha and beta to define the momentum payoffs in commodity futures market for the Indian context. Policy implications: Policymakers should design more lucrative policies so as to attract the institutional investors for investment in the Indian commodity market. This is because domestic and foreign institutional investors are central to the enhancement and stability of the financial market. Research implications/Limitations: The study uses the 13 highly traded commodity futures contract to design the momentum strategies. The robustness of the high abnormal returns given by these strategies can be investigated further by the use of extended study period and expanded cross section of commodity futures contract.

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商品期货市场动量策略的时变条件盈利能力:来自印度的证据

论文类型:研究目的:本研究旨在为印度商品期货市场存在动量盈利能力提供新的证据。设计/方法/方法:本研究基于2006年至2017年期间印度商品市场高度交易的商品期货合约样本。运用条件多因素模型对动量策略的时变性能进行检验。研究发现:本研究证实，尽管存在交易成本，但商品期货市场存在异常高的异常动量盈利能力。然而，条件多因素模型的应用表明，动量利润基本上是时变的。动量投资组合与股票和债券的低且不显著的相关性证实了相对强劲的商品期货动量投资组合可以有效地用于创建良好的多元化投资组合。理论贡献/独创性:本研究分析了印度等新兴经济体商品市场动量策略的时变条件盈利能力。它丰富了在印度背景下进行的商品期货研究小组。本研究的主要贡献是使用条件多因素模型来评估时变条件α和β在印度商品期货市场中定义动量收益的可能作用。政策启示:政策制定者应该设计更有利可图的政策，以吸引机构投资者投资印度商品市场。这是因为，国内外机构投资者对金融市场的改善和稳定至关重要。研究启示/局限性:本研究使用13种高交易量商品期货合约设计动量策略。通过延长研究周期和扩大商品期货合约的横截面，可以进一步研究这些策略所给出的高异常收益的稳健性。

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来源期刊

Asian Journal of Business and Accounting BUSINESS, FINANCE-

CiteScore

2.00

自引率

11.10%

发文量

期刊介绍： An academic journal that aims to advance knowledge in the business and accounting disciplines, to narrow the gap between theory and practice, and to set direction for policy initiatives in Asia. Welcome to the Asian Journal of Business and Accounting (AJBA). AJBA is an international refereed journal, published biannually (30th June and 30th December) by the Faculty of Business and Accountancy, University of Malaya, Malaysia. AJBA aims to publish scholarly business researches that are relevant to Malaysia and the Asian region. It intends to highlight the practical implications in promoting better business decision making process and the formulation of public policy in Asia. This journal publishes theoretical, conceptual, and empirical papers within the broad areas of business and accounting in Asia. The AJBA covers a broad spectrum of the business and accounting disciplines. A suggestive (though not necessarily comprehensive) list of areas that would be included in this journal are: general management, strategic management, human resource management, organizational behaviour, labour and industrial relations, international business management, business communication, entrepreneurship, leadership, management science, operations management, production management, supply chain management, marketing management, brand management, consumer behaviour, information management, e-marketing, e-commerce, quality management, retailing, service marketing, hospitality management, hotel and tourism management, asset pricing, capital and money markets, corporate finance, derivatives markets, finance and banking, financial economics, etc.