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Time‐series momentum in China's commodity futures market

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  • Hyuna Ham
  • Hoon Cho
  • Hyeongjun Kim
  • Doojin Ryu

Abstract

This study examines the time‐series momentum in China's commodity futures market. We find that a time‐series momentum strategy outperforms classical passive long and cross‐sectional momentum strategies in terms of the Sharpe ratio, risk‐adjusted excess returns, and cumulative returns. The time‐series momentum strategy with a 1‐month look‐back period and a 1‐month holding period exhibits the best performance. We observe clear time‐series momentum patterns and find that the time‐series momentum strategy is effective in the Chinese commodity futures market. However, the momentum lasts for less time in China than in the United States because China's futures market seems to have a greater number of speculative investors.

Suggested Citation

  • Hyuna Ham & Hoon Cho & Hyeongjun Kim & Doojin Ryu, 2019. "Time‐series momentum in China's commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1515-1528, December.
    • Handle: RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1515-1528
    DOI: 10.1002/fut.22053
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    Cited by:

    1. Ham, Hyuna & Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2023. "How do investors react to overnight returns? Evidence from Korea," Finance Research Letters, Elsevier, vol. 54(C).
    2. Bianchi, Robert J. & Fan, John Hua & Zhang, Tingxi, 2021. "Investable commodity premia in China," Journal of Banking & Finance, Elsevier, vol. 127(C).
    3. Ham, Hyuna & Ryu, Doojin & Webb, Robert I., 2022. "The effects of overnight events on daytime trading sessions," International Review of Financial Analysis, Elsevier, vol. 83(C).
    4. Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).

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