Is exchange rate trading profitable?
Data(s) |
01/09/2015
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Resumo |
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. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Elsevier |
Relação |
http://dro.deakin.edu.au/eserv/DU:30078335/narayan-isexchange-2015.pdf |
Direitos |
2015, Elsevier |
Tipo |
Journal Article |