TY - CONF
T1 - Behavior of Momentum in the Foreign Exchange Market: Evidence from Portfolio Approach
AU - Wuthisatian, Phuvadon
AU - Ahmed, Hasib
AU - Naka, Atsuyuki
PY - 2017/10/2
Y1 - 2017/10/2
N2 - 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.
AB - 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.
UR - https://cdn.wildapricot.com/220247/resources/Documents/Proceedings/2017/G4%20Ahmed,%20Naka%20and%20Wuthisatian.pdf?version=1519064322000&Policy=eyJTdGF0ZW1lbnQiOiBbeyJSZXNvdXJjZSI6Imh0dHBzOi8vY2RuLndpbGRhcHJpY290LmNvbS8yMjAyNDcvcmVzb3VyY2VzL0RvY3VtZW50cy9Qcm9jZWVkaW5ncy8yMDE3L0c0JTIwQWhtZWQsJTIwTmFrYSUyMGFuZCUyMFd1dGhpc2F0aWFuLnBkZj92ZXJzaW9uPTE1MTkwNjQzMjIwMDAiLCJDb25kaXRpb24iOnsiRGF0ZUxlc3NUaGFuIjp7IkFXUzpFcG9jaFRpbWUiOjE3MjU0ODkzMjB9LCJJcEFkZHJlc3MiOnsiQVdTOlNvdXJjZUlwIjoiMC4wLjAuMC8wIn19fV19&Signature=cnCJGfaLGRsPAJMi9OpjUa~2~mBDIPHUBPte7wVUfM~-QyJOVmP9t3kOELaGINjY2KUKHMJnCsTGrGauY2cPQxK5lTiwHQ3fl5alXa85fVXCev57eKczvoYY404xhiXSG7OyG~lXV8ixx3kG6x98bs8xJpTBDQGFsbEMnKm-yoDoRYJJ0ThqBEvosne938ZCvoZ74AzOtk9qTmuMijXQZCs~ko-hvvzcWYuHGOP-ztD7fioh-XMpTRZJ6qtreo3FU~v~ei5a66aEsGMqM1GvAdpprmB5RovifyApkfb1g6o49YBgMaUIIkFj8tJtZAOTobdVvuNdQdPU-lUM84dbEg__&Key-Pair-Id=K27MGQSHTHAGGF
M3 - Paper
T2 - Academy of Financial Services (AFS) Annual Conference
Y2 - 30 September 2017 through 2 October 2017
ER -