Currency portfolio behavior in seven major Asian markets

Hao-Wen Chang and Chin-Ho Lin

Economic Analysis and Policy, 2023, vol. 79, issue C, 540-559

Abstract: This study explores the returns and volatility patterns of currency portfolios (CP) in seven major Asian markets during noncrisis and crisis periods. The CP is developed by investing or divesting in the top three forward premiums or discount currencies in these markets and is rebalanced quarterly. The main findings are as follow: (1) Stochastic volatility models perform better than generalized autoregressive conditional heteroskedasticity models. (2) Spillover effects from the stock market on CP are observed for the examined periods. (3) The stochastic dominance analysis revealed that CP outperformed most stock markets.

Keywords: Currency portfolio; Volatility models; Spillover effects; Stochastic dominance (search for similar items in EconPapers)
JEL-codes: F31 G11 G15 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559

DOI: 10.1016/j.eap.2023.06.027

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