EconPapers    
Economics at your fingertips  
 

Return seasonality in the foreign exchange market

Yiuman Tse

Applied Economics Letters, 2018, vol. 25, issue 1, 5-8

Abstract: I examine return seasonality in the foreign exchange market using currency futures during the period 1973−2015. All the G10 currency futures yield negative returns in January and this effect happens more often in the countries that have a tax year ending in December. In contrast, returns offered in April are positive. To exploit these anomalies, I use a seasonality strategy that selects portfolios based on their historical same-calendar-month returns. I find that this strategy does not work in the currency market, although I find consistent results with Keloharju et al. in the stock portfolios.

Date: 2018
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2017.1290766 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:25:y:2018:i:1:p:5-8

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Series data maintained by Chris Longhurst ().

 
Page updated 2017-12-31
Handle: RePEc:taf:apeclt:v:25:y:2018:i:1:p:5-8