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Is exchange rate trading profitable?
journal contribution
posted on 2015-09-01, 00:00 authored by Paresh Narayan, Sagarika MishraSagarika Mishra, S Narayan, Kannan ThuraisamyKannan ThuraisamyWe 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.
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Journal
Journal of international financial markets, institutions and moneyVolume
38Pagination
217 - 229Publisher
ElsevierLocation
Amsterdam, The NetherlandsPublisher DOI
ISSN
1042-4431Language
engPublication classification
C Journal article; C1 Refereed article in a scholarly journalCopyright notice
2015, ElsevierUsage metrics
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