Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/194689 
Year of Publication: 
2017
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 5 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2017 [Pages:] 1-32
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it's observed that they perform better within the cross-sectional analysis. The correlation of the best portfolios within other markets is also examined, and the results confirm that they are indeed a good investment tool for diversifying a portfolio with different assets. Within a pre- and post-2008 global crisis point of view, the findings suggest that, for the contrarian portfolios, the results are stronger during the pre-crisis period, although during the post-crisis period the portfolios preserve the positive returns. Additionally, it's perceived that the first and second subsequent years after a crash or crisis year are usually highly profitable within the cross-sectional and time-series contrarian portfolios.
Subjects: 
momentum
contrarian
time-series
cross-sectional
commodities
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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