Momentum and Reversal Strategies in Chinese Commodity Futures Markets

Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact

“…In addition, Cassassus et al (2018) find that the optimal investment in new oil reserves is periodic and lumpy. Interestingly, Yang et al (2018) indicate that momentum and reversal strategies are profitable for commodities.…”

Exploring the predictability of intraday returns in China's stock market

“…Sun [10] and Renault [ 11 ] demonstrated that high-frequency investor sentiment can predict intraday stock returns, and Zhang [12] , Chu [3] , and Li [13] provided strong evidence for intraday time-series momentum in Chinese stock markets. Similarly, Jin [14] observed intraday momentum for four Chinese futures contracts, soybean, copper, steel, and soybean meal; however, Yang [15] showed that intraday strategies in the Chinese commodity futures market could not generate high excess returns due to transaction costs.…”