Asset Details

  • Description:
  • Extreme market conditions. The performance of long‐only and long‐short strategies under five different market conditions measured by the CSI300 index whose returns are sorted into quintiles (Q1–5). Crisis (Growth) represents periods when the CSI300 reported the lowest (highest) average monthly return. AVG denotes the equally weighted portfolio of 30 commodities. All commodity portfolios are evaluated based on the third nearest contracts. The sample period covers February 2004 through to May 2017. HP, hedging pressure; MOM, momentum; TS, term structure [Color figure can be viewed at wileyonlinelibrary.com]
  • License:
  • Rights Managed
  • Rights Holder:
  • John Wiley & Sons, Inc.
  • License Rights Holder:
  • © 2020 Wiley Periodicals, Inc.
  • Asset Type:
  • Image
  • Asset Subtype:
  • Chart/Graph
  • Image Orientation:
  • Landscape
  • Image Dimensions:
  • 900 x 466
  • Image File Size:
  • 28 KB
  • Creator:
  • John Hua Fan, Tingxi Zhang
  • Credit:
  • Fan, J., & Zhang, T. (2020). The untold story of commodity futures in China. Journal of Futures Markets, 40(4), 671-706. https://doi.org/10.1002/fut.22087.
  • Collection:
  • Keywords:
  • Restrictions:
  • Property Release:
  • No
  • Model Release:
  • No
  • Purchasable:
  • Yes
  • Sensitive Materials:
  • No
  • Article Authors:
  • John Hua Fan, Tingxi Zhang
  • Article Copyright Year:
  • 2020
  • Publication Volume:
  • 40
  • Publication Issue:
  • 4
  • Publication Date:
  • 04/01/2020
  • DOI:
  • https://doi.org/10.1002/fut.22087

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