Momentum and reversal strategies in Chinese commodity futures markets

Asymmetry, tail risk and time series momentum

“…Additionally, the China Financial Futures Exchange (CFFEX) was established in 2006 for the contracts of stock index futures, stock index options, and treasury bond futures. According to WFE, the Chinese commodity futures markets have the largest trading volume across the world (Yang et al, 2018;Ham et al, 2019). At the end of 2017, SHFE ranked first in the world, with the biggest trading volume among commodity futures exchanges.…”

“…Previous literature documented the emerging dependence structure between the rapidly growing Chinese commodity industry and the global commodity market (Fung et al, 2013;Li & Hayes, 2017;Jin et al, 2018). Yang et al (2018) examined the significant cross-sectional momentum and reversal effect on the Chinese commodity futures markets. Based on ten commodity futures on the Chinese markets, Ham et al (2019) constructed a monthly re-balancing strategy and compared the performance of time-series momentum with cross-sectional momentum.…”

“…There is increasing attention being paid to the Chinese commodity futures markets by both academia and practitioners (Yang et al, 2018;Jin et al, 2020). In this paper, we conduct empirical analysis of our proposed MTSM strategy based on 31 futures contracts traded on Chinese commodity futures markets covering metals, energy products, industrial materials, and agriculture products.…”

Idiosyncratic volatility in commodity futures markets: measurement and puzzle

“…Schwartz, 1997;Schwartz and Smith, 2000;Sørensen, 2002;Mirantes et al, 2012;Dempster et al, 2018;Cortazar et al, 2019;Moreno et al, 2019;Guo, 2020) or examining MF 49,10 the relationship between expected return and total volatility (Erb and Harvey, 2006;Gorton and Geert Rouwenhorst, 2006;Bhardwaj et al, 2015). In contrast, this paper investigates the commodity futures markets from the perspective of idiosyncratic volatility, which has important implications for asset diversification and hedging (Fernandez-Perez et al, 2016;Yang et al, 2018;Makkonen et al, 2021).…”

“…In contrast, this paper investigates the commodity futures markets from the perspective of idiosyncratic volatility, which has important implications for asset diversification and hedging (Fernandez-Perez et al. , 2016; Yang et al. , 2018; Makkonen et al.…”