Is Exchange Rate Trading Profitable?

被引：15

作者：

Narayan, Paresh Kumar ^{[1
]}

Mishra, Sagarika ^{[1
]}

Narayan, Seema ^{[2
]}

Thuraisamy, Kannan ^{[1
]}

机构：

[1] Deakin Univ, Deakin Business Sch, Ctr Econ & Financial Econometr Res, Geelong, Vic 3217, Australia

[2] RMIT Univ, Sch Econ Finance & Mkt, Melbourne, Vic, Australia

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2015年 / 38卷

关键词：

Exchange Rate; Emerging Markets; Momentum Trading Strategies; High Frequency Data; Profits; RULE PROFITS; TECHNICAL ANALYSIS; MARKET; STRATEGIES; MODELS; EFFICIENCY; TESTS; REAL;

D O I：

10.1016/j.intfin.2015.05.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：217 / 229

页数：13

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