Is exchange rate trading profitable?

Narayan, Paresh Kumar, Mishra, Sagarika, Narayan, Seema and Thuraisamy, Kannan 2015, Is exchange rate trading profitable?, Journal of international financial markets, institutions and money, vol. 38, pp. 217-229.

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Title Is exchange rate trading profitable?
Author(s) Narayan, Paresh KumarORCID iD for Narayan, Paresh Kumar orcid.org/0000-0001-7934-8146
Mishra, SagarikaORCID iD for Mishra, Sagarika orcid.org/0000-0003-0590-225X
Narayan, Seema
Thuraisamy, KannanORCID iD for Thuraisamy, Kannan orcid.org/0000-0001-5164-5456
Journal name Journal of international financial markets, institutions and money
Volume number 38
Start page 217
End page 229
Total pages 13
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2015-09
ISSN 1042-4431
Summary We Test whether exchange rate trading is profitable in the emerging markets of Brazil, China, India, And South Africa. Using Momentum trading strategies applied to high frequency data, we discover that: (a) momentum-based trading strategies lead to statistically significant profits from the currencies of all four emerging markets; (b) The South African Rand Is generally the most profitable, followed by the Brazilian Real And the Indian Rupee; (c) Profits are persistent during the day and are trading frequency dependent; and (d) During the period of the global financial crisis currency profits were maximised.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078335

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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