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Do momentum-based trading strategies work in emerging currency markets?

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  • Tajaddini, Reza
  • Crack, Timothy Falcon

Abstract

We appear to be the first to present correctly calculated results for the profitability of emerging currency momentum strategies using a long time series and a good cross-sectional sample. Using a 1985–2009 sample period and six emerging currencies, we find that long-short momentum strategies gained about 1–3% per annum after actual transaction costs. These profits declined through time (both economically and statistically), however, with most of our strategies losing money after transaction costs during the last five years of our sample. These results are similar to, though slightly more volatile in the cross section, than those published for major currencies.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 22 (2012)
Issue (Month): 3 ()
Pages: 521-537

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Handle: RePEc:eee:intfin:v:22:y:2012:i:3:p:521-537

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Web page: http://www.elsevier.com/locate/intfin

Related research

Keywords: Emerging currencies; Momentum strategy; Transaction costs;

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