Earticle

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

Abstract
 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

키워드

저자

• Jangkoo Kang [ Professor of Korea Advanced Institute of Science and Technology ]
• Kyung Yoon Kwon [ Korea Advanced Institute of Science and Technology ]
• Jaesun Yun [ Korea Advanced Institute of Science and Technology ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330