Momentum in International Commodity Futures Markets
研究了美国、中国、英国、日本和印度五国商品期货动量能否预测经济周期，发现动量因子有显著负向预测能力，且独立于传统风险因子和宏观经济变量。
This paper examines whether commodity futures momentum can predict business cycles in the US, China, UK, Japan, and India. Momentum as a risk factor may play a role as a state variable in the spirit of Liew and Vassalou ( ). We find significant and negative predictability of commodity futures momentum, although the basis factor of the commodity futures markets shows insignificant results. Moreover, we find that commodity futures momentum is an independent factor that cannot be fully explained by traditional risk factors, macroeconomic variables, or commodity sector momentum. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:803–835, 2017