Strategie oparte na momentum i strukturze terminowej w warunkach finansjalizacji rynku surowców
DOI:
https://doi.org/10.18559/s3twv096Słowa kluczowe:
Finansjeryzacja, Rynek surowców, Kontrakty futures, Strategie momentumAbstrakt
Autor artykułu podejmuje próbę odpowiedzi na pytanie, w jaki sposób finansjalizacja rynku surowców wpływa na wyniki strategii inwestycyjnych opartych na momentum i strukturze terminowej. Artykuł obejmuje analizę ponadprzeciętnych stóp zwrotu z portfeli surowcowych kontraktów futures sortowanych podwójnie według obecności inwestorów finansowych oraz przeszłych stóp zwrotu lub nachylenia krzywych terminowych. Obie strategie wypracowują lepsze wyniki na rynkach cechujących się niskim poziomem finansjalizacji, natomiast na rynkach sfinansjalizowanych nie charakteryzują się statystycznie istotnymi ponadprzeciętnymi stopami zwrotu. Wyniki niniejszego opracowania mogą zostać wykorzystane w taktycznej alokacji aktywów, a także stać się przyczynkiem do stworzenia modelu wyceny kontraktów futures uwzględniającego strukturę uczestników rynku.
Pobrania
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