How to time the commodities markets
Basu, Devraj, Oomen, Roel and Stremme, Alexander. (2010) How to time the commodities markets. Journal of Derivatives & Hedge Funds , Vol.16 (No.1). pp. 1-8. ISSN 1753-9641Full text not available from this repository.
Official URL: http://dx.doi.org/10.1057/jdhf.2010.4
In this article we construct and investigate the performance of elementary trading strategies that allow an investor to time between equities and commodities. Our strategies appear to capture time-varying risk premiums in the equity and commodity markets, enabling them to successfully time the market, outperforming the benchmark index as well as buy-and-hold and trend-based strategies.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HF Commerce|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
|Journal or Publication Title:||Journal of Derivatives & Hedge Funds|
|Publisher:||Palgrave Macmillan Ltd.|
|Number of Pages:||8|
|Page Range:||pp. 1-8|
|Access rights to Published version:||Restricted or Subscription Access|
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