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Is there a time-series momentum effect in the Asian crude oil futures market?

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Listed:
  • Zhong, Hao
  • He, Xiaoxiao
  • Li, Yuqi

Abstract

Huang et al. (2020) first confirmed that the time-series momentum (TSM) effect documented by several recent influential studies is questionable for a large cross-section of futures. We replicate their study and further examine whether TSM exists in the Asian-Pacific crude oil futures markets. The empirical results do not support the existence of TSM. Although the pooled regression generates large and significant t-statistic, it is not statistically reliable as it is smaller than the statistical values of the wild and pairs bootstraps. In terms of profitability, further evidence suggests that TSM does not significantly outperform the simple time series history strategy without any predictability.

Suggested Citation

  • Zhong, Hao & He, Xiaoxiao & Li, Yuqi, 2024. "Is there a time-series momentum effect in the Asian crude oil futures market?," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
    • Handle: RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002245
    DOI: 10.1016/j.pacfin.2024.102472
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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