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...

This article investigates price transmission mechanism and volatility impact between Chinese cornstarch futures market and relevant markets through Johansen cointegration test, VEC model and GARCH model. The empirical results indicated that the Chinese cornstarch futures price could guide...