AN EMPIRICAL EVALUATION OF COMMODITY FUTURES TRADING STRATEGIES BASED ON PAST PUBLIC INFORMATION

Система будет остановлена для регулярного обслуживания. Пожалуйста, сохраните рабочие данные и выйдите из системы.

dc.contributor.author	Abdikhalyk, MIras
dc.contributor.author	Baizakov, Azamat
dc.date.accessioned	2023-12-27T05:26:08Z
dc.date.available	2023-12-27T05:26:08Z
dc.date.issued	2022-12-14
dc.identifier.citation	Abdikhalyk, M. Baizakov, A. (2022). An empirical evaluation of commodity futures trading strategies based on past public information. Nazarbayev University, Graduate School of Business	en_US
dc.identifier.uri	http://nur.nu.edu.kz/handle/123456789/7554
dc.description.abstract	The performance of individual momentum, term structure, and idiosyncratic volatility commodity futures trading strategies based on trading signals, as well as double and triple combinations of the latter three, is demonstrated in this study. The profitability of these strategies calls into question the weak form of the efficient market hypothesis because the signals are based on past public trading information. Robustness analysis for the recent decade and sensitivity analysis on the breadth of the futures portfolio were conducted	en_US
dc.language.iso	en	en_US
dc.publisher	Nazarbayev University, Graduate School of Business	en_US
dc.rights	Attribution-NonCommercial-NoDerivs 3.0 United States	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.subject	Type of access: Restricted	en_US
dc.title	AN EMPIRICAL EVALUATION OF COMMODITY FUTURES TRADING STRATEGIES BASED ON PAST PUBLIC INFORMATION	en_US
dc.type	Master's thesis	en_US
workflow.import.source	science