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Momentum strategies in commodity futures markets

✍ Scribed by Joëlle Miffre; Georgios Rallis

Book ID
116614929
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
331 KB
Volume
31
Category
Article
ISSN
0378-4266

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An examination of momentum strategies in
An examination of momentum strategies in commodity futures markets
✍ Qian Shen; Andrew C. Szakmary; Subhash C. Sharma 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 248 KB

## Abstract Commodity futures and equity markets differ in several important respects. Nevertheless, it was found that momentum profits in commodities are highly significant for holding periods as long as 9 months, and returns to momentum strategies are roughly equal in magnitude to those that have