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.
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页码：217 / 229
页数：13
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