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Is Exchange Rate Trading Profitable?

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  • Narayan, Paresh Kumar
  • Mishra, Sagarika
  • Narayan, Seema
  • Thuraisamy, Kannan

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.

Suggested Citation

  • Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema & Thuraisamy, Kannan, 2015. "Is Exchange Rate Trading Profitable?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 217-229.
    • Handle: RePEc:eee:intfin:v:38:y:2015:i:c:p:217-229
    DOI: 10.1016/j.intfin.2015.05.015
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