Behavior of Momentum in the Foreign Exchange Market: Evidence from Portfolio Approach
Document Type
Paper Presentation
Publication Date
10-2-2017
Abstract
This paper investigates the momentum strategy of currency using 66 cross-currency exchange rates from spanning period of December 1984 to December 2015. We follow the approach from Daniel and Moskowitz (2016) paper to investigate the source of the momentum returns. Our finding, however, shows that the (i) unlike stock market, out sample does not behave as it is predicted by Daniel and Moskowitz (2016) result, (ii) the loser portfolio, however, acts the same way as it does in stock market, and (iii) the source of returns from WML is mainly from loser portfolio rather winner portfolio.
Conference/Symposium
Academy of Financial Services (AFS) Annual Conference
City/State
Nashville, TN
Department
College of Business and Management
Recommended Citation
Wuthisatian, P., Ahmed, H., & Naka, A. (2017, September 30-October 2). Behavior of momentum in the foreign exchange market: Evidence from portfolio approach [Paper presentation]. Academy of Financial Services (AFS) Annual Conference, Nashville, TN, United States.
Behavior of Momentum in the Foreign Exchange Market
Comments
Slides: https://slideplayer.com/slide/12811292/