Return predictability in metal futures markets: new evidence. Issue 6 (June 2019)

• Record Type: Journal Article
• Authors: Tharann, Björn
• Is Part Of: Heliyon. Volume 5:Issue 6(2019)
• Publication Date: 2019-06
• Subjects: Economics -- Commodities -- Metal futures -- Return predictability; Research -- Periodicals; Medical sciences -- Periodicals; Natural history -- Periodicals; Social sciences -- Periodicals; Earth sciences -- Periodicals; Physical sciences -- Periodicals; 507.2
• DOI: 10.1016/j.heliyon.2019.e01843
• Languages: English
• ISSNs: 2405-8440

Abstract

Abstract: This paper studies the predictability of metal futures returns. Additionally, we identify years of high predictability. Generally, we find a substantial degree of predictability both in- and out-of-sample. Gold returns seem to be best predictable out-of-sample. A timing strategy leads to utility gains of 2.18% p.a. In particular, the Aruoba–Diebold–Scotti (ADS) business conditions index incorporates relevant information for metal returns, and strongly predicts gold returns.