Abstract:Manuscript type: Research paperResearch aims: This study aims to provide fresh evidence on the presence of momentum profitability in the commodity futures market of India. Design/Methodology/Approach: The sample of this study consists of highly traded commodity futures contracts taken from the commodity market of India over the period of 2006-2017. This study applies the conditional multi-factor model to test the time-varying performance of the momentum strategies.Research findings: This study confirms the exi… Show more
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