Commodity momentum: A tale of countries and sectors

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-03-01 DOI:10.1016/j.jcomm.2023.100315

John Hua Fan , Xiao Qiao

引用次数: 2

Abstract

This paper takes a cross-country and cross-sector perspective to investigate the drivers of commodity momentum strategies. Commodity momentum strategies deployed in the U.S. and Chinese markets generate positive average returns with non-negligible correlations, but their premia are primarily local, and their return characteristics are distinct. A prevalent sector effect explains a significant fraction of momentum profits in both markets, suggesting that long-short commodity futures momentum may be riskier than previously thought. Overall, our findings suggest commodity momentum is more consistent with a risk-based explanation in U.S. markets whereas risk alone is difficult to capture the premia in China.

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大宗商品势头:国家和行业的故事

本文采用跨国和跨部门的视角来研究商品动量策略的驱动因素。在美国和中国市场部署的大宗商品动量策略产生了具有不可忽略相关性的正平均回报，但其溢价主要是本地的，其回报特征也很明显。普遍的行业效应解释了两个市场动量利润的很大一部分，这表明多空商品期货动量可能比之前认为的风险更大。总体而言，我们的研究结果表明，大宗商品势头与美国市场基于风险的解释更为一致，而在中国，单凭风险很难捕捉到溢价。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.