원문정보
초록
영어
Unlike in equity markets, strong short-term momentum, instead of short-term reversal, is observed in commodity futures markets. Moreover, while long-term momentum in commodity futures markets is strongly correlated with momentum in the U.S. equity market, short-term momentum does not share any common momentum factor with the equity market. We set forth the hypothesis that liquidity provision of speculators may account for the short-term momentum in commodity futures markets, and provide the following empirical evidence for it. First, speculators are momentum traders while hedgers are contrarian in the short-run, both unwinding their positions after a few weeks. Second, liquidity supply factors predict short-term momentum returns, and the short-term momentum is stronger in nearby contracts than distant contracts.
목차
1. Introduction
2. Data and Term Structure of Commodity Momentum
2.1 Data
2.2 Term structure of the commodity momentum
3. Empirical Results
3.1 Short-term Momentum and Hedging Pressure Hypothesis
3.2 Long-term Momentum and Common Momentum Factor
3.3 First-nearest contracts versus Second-nearest contracts
4. Conclusion