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

Streaming Media

Wuthisatian Behavior of Momentum in the Foreign Exchange Market.pptx (687 kB)
Behavior of Momentum in the Foreign Exchange Market


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