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
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DOI: 10.1080/13504851.2017.1290766

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