Is Exchange Rate Trading Profitable?

Paresh Narayan (), Sagarika Mishra, Seema Narayan () and Kannan Thuraisamy

Journal of International Financial Markets, Institutions and Money, 2015, vol. 38, issue C, 217-229

Abstract: 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.

Keywords: Exchange Rate; Emerging Markets; Momentum Trading Strategies; High Frequency Data; Profits (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:38:y:2015:i:c:p:217-229

DOI: 10.1016/j.intfin.2015.05.015

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