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Article Dans Une Revue Applied Economics Année : 2013

Understanding momentum in commodity markets

Florian Ielpo
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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.
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Dates et versions

hal-00947001 , version 1 (14-02-2014)

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  • HAL Id : hal-00947001 , version 1

Citer

Mathieu Gatumel, Florian Ielpo. Understanding momentum in commodity markets. Applied Economics, 2013, 20 (15), pp.1383-1402. ⟨hal-00947001⟩
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