Is there momentum or reversal in weekly currency returns?

Ahmad Raza, Ben Marshall and Nuttawat Visaltanachoti ()

Journal of International Money and Finance, 2014, vol. 45, issue C, 38-60

Abstract: We investigate whether momentum or reversal is the dominant phenomenon in short horizon (one- to four-week) foreign exchange rate returns. We find, based on a broad sample of 63 emerging and developed market currencies, evidence of momentum rather than reversal. Momentum strategy returns are as large as 8% p.a. The short-term momentum effect appears to be robust. Returns are larger in the earlier sub-period but still exist in the more recent period. The strategies are also profitable when the USD is appreciating or depreciating but they perform better in business cycle expansions.

Keywords: Currency; Momentum; Reversal (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:45:y:2014:i:c:p:38-60

DOI: 10.1016/j.jimonfin.2014.02.009

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