Active trading strategies based on momentum and term structure signals in commodity futures market: evidence from India

Jaiswal, Ritika

doi:10.1504/aajfa.2021.10033829

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“…Since then, several studies have explored drivers of momentum returns across asset classes, developed and emerging markets, different study periods and different look back and holding periods. Several studies established that momentum strategy works across asset classes such as equity (Paule-Vianez et al , 2020), commodities (Yan and Garcia, 2017), currency (Menkhoff et al , 2012a), commodity futures (Jaiswal, 2021), bonds (Polbennikov et al , 2021), mutual funds (Wongchoti, 2013), exchange-traded funds (Vanstone et al , 2021), green stocks (Chakrabarti and Sen, 2020), real estate (Bron et al , 2018) and in different sectors (Ahmad and Abu-Ghunmi, 2021). While momentum returns seem persistent and pervasive, they manifest differently in different markets and asset classes.…”

Section: Introductionmentioning

confidence: 99%

Decoding momentum returns: an integrated bibliometric and content analysis approach

Joshipura

Wats²

2022

QRFM

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Purpose Over the past three decades, numerous conceptual and empirical studies have discussed momentum investment strategies’ presence, pervasiveness and persistence. However, science mapping in the field is inadequate. Hence, this study aims to comprehend and explore current dynamics, understand knowledge progression, elicit trends through thematic map analysis, synthesize knowledge structures and provide future research directions in this domain. Design/methodology/approach The study applies bibliometric analysis on 562 Scopus indexed articles from 1986 to 2021. Biblioshiny version 3.1.4, a Web-based application included in Bibiliometrix package developed in R-language (Aria and Cuccurullo, 2017), was used to examine: the most prominent articles, journals, authors, institutions and countries and to understand the thematic evolution and to elicit trends through the synthesis of knowledge structures including conceptual, intellectual and social structures of the field. Findings Motor themes, basic transverse, niche and emerging and declining themes were identified using (Callon, 1991) strategic thematic map. Besides, four major clusters based on a cocitation network of documents were identified: empirical evidence and drivers of momentum returns, theories explaining momentum returns and implications for asset pricing and market efficiency, avoiding momentum crashes and momentum in alternative asset classes, alternative explanations for momentum returns. The study infers that momentum research is becoming multidisciplinary given the dominance of behavioral theories and economic aspects in explaining the persistence of momentum profits and offers future research directions. Research limitations/implications The study deploys bibliometric analysis, appropriate for deriving insights from the vast extant literature. However, a meta-analysis might offer deeper insights into specific dimensions of the research topic. Besides, the study’s findings are based on Scopus indexed articles analyzed using bibilioshiny; the database and software limitations might have affected the findings. Practical implications The study is a ready reckoner for scholars who intend to recognize the evolution of momentum investment strategies, current dynamics and future research direction. The study offers practitioners insights into efficiently designing and deploying momentum investment strategies and ways to avoid momentum crashes. Social implications The study offers insights into the irrational behavior and systematic errors committed by market participants that helps regulators and policymakers to direct investors’ educational efforts to minimize systematic behavioral errors and related adverse financial consequences. Originality/value This comprehensive study on momentum investment strategies evaluates research trends and current dynamics draws a thematic map, knowledge progression in the field and offers future research directions.

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Section: Introductionmentioning

confidence: 99%

Decoding momentum returns: an integrated bibliometric and content analysis approach

Joshipura

Wats²

2022

QRFM

View full text Add to dashboard Cite

show abstract

Active trading strategies based on momentum and term structure signals in commodity futures market: evidence from India

Abstract: ww w.i nd ers cie nce .co m/ aaj fa Af ro-A si an Jo ur na l of Fi na nc e an d Ac co un tin g

Cited by 1 publication

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Decoding momentum returns: an integrated bibliometric and content analysis approach

Decoding momentum returns: an integrated bibliometric and content analysis approach

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