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| Author: | Okunev, J. White, D. |
| Title: | Do momentum-based strategies still work in foreign currency markets? |
| Journal: | Journal of Financial and Quantitative Analysis
2003 : JUN, VOL. 38:2, p. 425-447 |
| Index terms: | Foreign exchange Foreign exchange market Strategy Time |
| Language: | eng |
| Abstract: | The performance of momentum trading strategies is examined in foreign exchange markets. The well-documented profitability of momentum strategies is found during the 1970s and the 1980s to be continued throughout the 1990s. The approach and findings of this study are insensitive to the specification of the trading rule and the base currency for analysis. It is shown that the performance is not due to a time-varying risk premium but rather depends on the underlying autocorrelation structure of the currency returns. |
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