国家金融研究院

National Academy of Financial Research

工作论文

当前位置: 首页 > 论文 > 工作论文

【NAFR Working Paper No.2507】Factor Momentum in China’s Commodity Markets

发布日期:2025-06-20来源:

Author Information:

Feiyang Li, School of Statistics, Renmin University of China, Beijing, China 

Jian Lei,PBC School of Finance, Tsinghua University, Beijing, China 

Ke Wu,School of Finance, Renmin University of China, Beijing, China


Abstract:

We investigate cross-sectional and time-series factor momentum using 12 common factors in China’s commodity markets. A time-series momentum strategy that goes long on factors with positive past returns and shorts those with negative returns generates a significant monthly return of 0.41%, subsuming the cross-sectional factor momentum effect. Additionally, we identify a regime shift in commodity factor pricing following China’s supply-side structural reforms in 2017. Specifically, the primary pricing factors transitioned from macroeconomic variables to financial variables, signaling a pronounced trend toward financialization. Our study bridges the gap between factor momentum strategies and their macroeconomic linkages.

下一篇:【NAFR Working Paper No.2506】涨跌停限制对管理层股价学习的影响——来自创业板涨跌幅限制改革的准自然研究

国家金融研究院公众号