Commodity futures and momentum trading: implications for behavioural finance

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Commodity futures and momentum trading: implications for behavioural finance

The purpose of this paper is to expand the research on momentum strategies in the securities market. Specifically, it examines the momentum anomaly in respect to the commodity futures market, and closely follows recent work as studied by Miffre and Rallis (2007). This study identifies one statistica...

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Bibliographic Details
Main Authors:	Calder, Dan, O'Grady, Thomas (Barry)
Format:	Working Paper
Published:	School of Economics and Finance, Curtin Business School 2009
Subjects:	Momentum under-reaction hypothesis contrarian irrational investors overreaction hypothesis efficient market hypothesis
Online Access:	http://hdl.handle.net/20.500.11937/47003

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