Zhang, X., Xiao, J. and Zhang, Z. (2020) An anatomy of commodity futures returns in China. Pacific-Basin Finance Journal, 62, 101366. (doi: 10.1016/j.pacfin.2020.101366)
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Abstract
We provide a broad empirical analysis for cross-sectional excess returns in the Chinese commodity futures market. We find two commodity futures strategies, the carry and the momentum, provide significant returns. These two factors, along with a commodity average factor, explain most cross-sectional variations in the Chinese commodity futures market. We then discuss economic interpretations for commodity carry and momentum in China in comparison with their US counterparts. We show that commodity carry in China provides a lower return than the one in the US because it is not compensated by the equity volatility innovation risk. The commodity momentum in China is closely related to the individual investors' behavioural bias of herding effects in the Chinese equity market.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | Zhang, Mr Xuan and Zhang, Mr Zhekai |
| Authors: | Zhang, X., Xiao, J., and Zhang, Z. |
| College/School: | College of Social Sciences > Adam Smith Business School |
| Journal Name: | Pacific-Basin Finance Journal |
| Publisher: | Elsevier |
| ISSN: | 0927-538X |
| ISSN (Online): | 1879-0585 |
| Published Online: | 14 June 2020 |
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