References
- Amini, S., Gebka, B., Hudson, R. and Keasey, K., A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations. Int. Rev. Financ. Anal., 2013, 26, 1–17. doi: 10.1016/j.irfa.2012.04.002
- Asness, C.S., Moskowitz, T.J. and Pedersen, L.H., Value and momentum everywhere. J. Financ., 2013, 68, 929–985. doi: 10.1111/jofi.12021
- Basu, D. and Miffre, J., Capturing the risk premium of commodity futures: The role of hedging pressure. J. Bank. Financ., 2013, 37, 2652–2664. doi: 10.1016/j.jbankfin.2013.02.031
- Bianchi, R.J., Drew, M.E. and Fan, J.H., Combining momentum with reversal in commodity futures. J. Bank. Financ., 2015, 59, 423–444. doi: 10.1016/j.jbankfin.2015.07.006
- Blitz, D. and Groot, W., Strategic allocation to commodity factor premiums. J. Alternative Investments, 2014, 17, 103–115. doi: 10.3905/jai.2014.17.2.103
- Daskalaki, C., Kostakis, A. and Skiadopoulos, G., Are there common factors in individual commodity futures returns? J. Bank. Financ., 2014, 40, 346–363. doi: 10.1016/j.jbankfin.2013.11.034
- DCE and ZCE, Futures trading transaction cost, 2016. Available online at: http://baike.baidu.com (accessed 4 June 2017).
- Dungey, M. and Martin, V.L., Unravelling financial market linkages during crises. J. Appl. Econom., 2007, 22, 89–119. doi: 10.1002/jae.936
- Efron, B., Bootstrap methods: Another look at the Jackknife. Ann. Stat., 1979, 7, 1–26. doi: 10.1214/aos/1176344552
- Efron, B. and Tibshirani, R., Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy. Stat. Sci., 1986, 1, 54–75. doi: 10.1214/ss/1177013815
- Erb, C.B. and Harvey, C.R., The strategic and tactical value of commodity futures. Financ. Anal. J., 2006, 62, 69–97. doi: 10.2469/faj.v62.n2.4084
- Fernandez-Perez, A., Frijns, B., Fuertes, A.-M. and Miffre, J., The Skewness of Commodity Futures Returns, 2015. Available online at: https://papers.ssrn.com/abstract=2671165 (accessed 4 June 2017).
- Fernandez-Perez, A., Fuertes, A.-M. and Miffre, J., Is idiosyncratic volatility priced in commodity futures markets? Int. Rev. Financ. Anal., 2016, 46, 219–226. doi: 10.1016/j.irfa.2016.06.002
- Fuertes, A.-M., Miffre, J. and Rallis, G., Tactical allocation in commodity futures markets: Combining momentum and term structure signals. J. Bank. Financ., 2010, 34, 2530–2548. doi: 10.1016/j.jbankfin.2010.04.009
- Fuertes, A.-M., Miffre, J. and Fernandez-Perez, A., Commodity strategies based on momentum, term structure, and idiosyncratic volatility. J. Futures Markets, 2015, 35, 274–297. doi: 10.1002/fut.21656
- Gorton, G.B., Hayashi, F. and Rouwenhorst, K.G., The fundamentals of commodity futures returns. Rev. Financ., 2013, 17, 35–105. doi: 10.1093/rof/rfs019
- Han, H., Linton, O., Oka, T. and Whang, Y., The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. J. Econom., 2016, 193, 251–270. doi: 10.1016/j.jeconom.2016.03.001
- Hirshleifer, D., Residual risk, trading costs, and commodity futures risk premia. Rev. Financ. Stud., 1988, 1, 173–193. doi: 10.1093/rfs/1.2.173
- Hong, K.J. and Satchell, S., Time series momentum trading strategy and autocorrelation amplification. Quant. Finance, 2015, 15, 1471–1487. doi: 10.1080/14697688.2014.1000951
- Jegadeesh, N. and Titman, S., Returns to buying winners and selling losers: Implications for stock market efficiency. J. Financ., 1993, 48, 65–91. doi: 10.1111/j.1540-6261.1993.tb04702.x
- Jiang, H., Su, J.-J., Todorova, N. and Roca, E., Spillovers and directional predictability with a Cross-Quantilogram analysis: The case of U.S. and Chinese agricultural futures. J. Futures Markets, 2016, 36, 1231–1255. doi: 10.1002/fut.21779
- Kaldor, N., Speculation and economic stability. Rev. Econ. Stud., 1939, 7, 1–27. doi: 10.2307/2967593
- Lo, A. and MacKinlay, G., When are contrarian profits due to stock market overreaction? Rev. Financ. Stud., 1990, 3, 175–205. doi: 10.1093/rfs/3.2.175
- Locke, P.R. and Venkatesh, P.C., Futures market transaction costs. J. Futures Markets, 1997, 17, 229–245. doi: 10.1002/(SICI)1096-9934(199704)17:2<229::AID-FUT5>3.0.CO;2-L
- Lubnau, T. and Todorova, N., Trading on mean-reversion in energy futures markets. Energy Econ., 2015, 51, 312–319. doi: 10.1016/j.eneco.2015.06.018
- Maderitsch, R., Spillovers from the USA to stock markets in Asia: A quantile regression approach. Appl. Econ., 2015, 47, 4714–4727. doi: 10.1080/00036846.2015.1034839
- Madhavan, A., Market microstructure: A survey. J. Financ. Markets, 2000, 3, 205–258. doi: 10.1016/S1386-4181(00)00007-0
- Marshall, B.R., Nguyen, N.H. and Visaltanachoti, N., Time series momentum and moving average trading rules. Quant. Finance, 2017, 17, 405–421. doi: 10.1080/14697688.2016.1205209
- Miffre, J., Long-short commodity investing: A review of the literature. J. Commodity Markets, 2016, 1, 3–13. doi: 10.1016/j.jcomm.2016.01.001
- Miffre, J. and Rallis, G., Momentum strategies in commodity futures markets. J. Bank. Financ., 2007, 31, 1863–1886. doi: 10.1016/j.jbankfin.2006.12.005
- Moskowitz, T.J., Ooi, Y.H. and Pedersen, L.H., Time series momentum. J. Financ. Econ., 2012, 104, 228–250. doi: 10.1016/j.jfineco.2011.11.003
- Narayan, P.K., Ahmed, H.A. and Narayan, S., Do momentum-based trading strategies work in the commodity futures markets? J. Futures Markets, 2015, 35, 868–891. doi: 10.1002/fut.21685
- Packham, N., Papenbrock, J., Schwendner, P. and Woebbeking, F., Tail-risk protection trading strategies. Quant. Finance, 2017, 17, 729–744. doi: 10.1080/14697688.2016.1249512
- Shen, Q., Szakmary, A.C. and Sharma, S.C., An examination of momentum strategies in commodity futures markets. J. Futures Markets, 2007, 27, 227–256. doi: 10.1002/fut.20252
- Szakmary, A.C., Shen, Q. and Sharma, S.C., Trend-following trading strategies in commodity futures: A re-examination. J. Bank. Financ., 2010, 34, 409–426. doi: 10.1016/j.jbankfin.2009.08.004
- Szymanowska, M., Roon, F., Nijman, T. and Goorbergh, R., An anatomy of commodity futures risk premia. J. Financ., 2014, 69, 453–482. doi: 10.1111/jofi.12096
- Working, H., The theory of price of storage. Am. Econ. Rev., 1949, 39, 1254–1262.