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Currency Momentum Strategies

Citations

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Persuasion with statistics
    by chris dillow in Stumbling and Mumbling on 2014-10-22 18:39:40
  2. Coping with unreplicability
    by chris in Stumbling and Mumbling on 2015-10-08 17:52:15
  3. In defence of (some) economics
    by chris in Stumbling and Mumbling on 2016-03-08 19:54:17
  4. Progress in economics
    by chris in Stumbling and Mumbling on 2018-05-04 11:43:28
  5. Ideology for normal people
    by chris in Stumbling and Mumbling on 2018-10-02 13:05:42
  6. My favourite economics papers
    by chris in Stumbling and Mumbling on 2019-02-02 12:14:49

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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Cited by:

  1. Fabrice Rousseau & Herve Boco & Laurent Germain, 2020. "When Overconfident Traders Meet Feedback Traders - Updated from 2016," Economics Department Working Paper Series n270-16.pdf, Department of Economics, National University of Ireland - Maynooth.
  2. K. J. Hong & S. Satchell, 2015. "Time series momentum trading strategy and autocorrelation amplification," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1471-1487, September.
  3. Ruenzi, Stefan & Weigert, Florian, 2018. "Momentum and crash sensitivity," Economics Letters, Elsevier, vol. 165(C), pages 77-81.
  4. Schmidhuber, Christof, 2021. "Trends, reversion, and critical phenomena in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  5. Coakley, Jerry & Marzano, Michele & Nankervis, John, 2016. "How profitable are FX technical trading rules?," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 273-282.
  6. Panahidargahloo, Akram, 2020. "Positional momentum and liquidity management; a bivariate rank approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  7. Yamani, Ehab, 2019. "Diversification role of currency momentum for carry trade: Evidence from financial crises," Journal of Multinational Financial Management, Elsevier, vol. 49(C), pages 1-19.
  8. Della Corte, Pasquale & Ramadorai, Tarun & Sarno, Lucio, 2016. "Volatility risk premia and exchange rate predictability," Journal of Financial Economics, Elsevier, vol. 120(1), pages 21-40.
  9. Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019_12, Business School - Economics, University of Glasgow.
  10. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Time series momentum and contrarian effects in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 309-318.
  11. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2022. "The time-varying risk price of currency portfolios," Journal of International Money and Finance, Elsevier, vol. 124(C).
  12. Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
  13. Jacob Gyntelberg & Andreas Schrimpf, 2011. "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
  14. H. W. Wayne Yang & Po-Wei Shen & An-Sing Chen, 2020. "Trimming Effects And Momentum Investing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 14(2), pages 73-87.
  15. Steven J. Jordan & Andrew Vivian & Mark E. Wohar, 2015. "Location, location, location: currency effects and return predictability?," Applied Economics, Taylor & Francis Journals, vol. 47(18), pages 1883-1898, April.
  16. Shaista Arshad & Omair Haroon & Syed Aun R. Rizvi, 2019. "Understanding Asian Emerging Stock Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-16, January.
  17. Choi, Jin Ho & Suh, Sangwon, 2021. "A filtered currency carry trade," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  18. Byrne, Joseph P. & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2018. "Common information in carry trade risk factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 52(C), pages 37-47.
  19. Dierkes, Maik & Krupski, Jan, 2022. "Isolating momentum crashes," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 1-22.
  20. Gao, Ya & Han, Xing & Li, Youwei & Xiong, Xiong, 2019. "Overnight momentum, informational shocks, and late informed trading in China," International Review of Financial Analysis, Elsevier, vol. 66(C).
  21. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
  22. Colacito, Riccardo & Riddiough, Steven J. & Sarno, Lucio, 2020. "Business cycles and currency returns," Journal of Financial Economics, Elsevier, vol. 137(3), pages 659-678.
  23. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
  24. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
  25. KiHoon Jimmy Hong & Eliza Wu, 2014. "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series 346, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522, Elsevier.
  27. Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2022. "Momentum-Managed Equity Factors," Journal of Banking & Finance, Elsevier, vol. 137(C).
  28. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
  29. Zaremba, Adam & Bilgin, Mehmet Huseyin & Long, Huaigang & Mercik, Aleksander & Szczygielski, Jan J., 2021. "Up or down? Short-term reversal, momentum, and liquidity effects in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 78(C).
  30. Zhang, Shaojun, 2022. "Dissecting currency momentum," Journal of Financial Economics, Elsevier, vol. 144(1), pages 154-173.
  31. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2022. "Momentum and the Cross-section of Stock Volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  32. Haas Ornelas, José Renato, 2019. "Expected currency returns and volatility risk premia," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
  33. Broll, Michael, 2016. "The skewness risk premium in currency markets," Economic Modelling, Elsevier, vol. 58(C), pages 494-511.
  34. Engel, Charles & Kazakova, Katya & Wang, Mengqi & Xiang, Nan, 2022. "A reconsideration of the failure of uncovered interest parity for the U.S. dollar," Journal of International Economics, Elsevier, vol. 136(C).
  35. Gadanecz, Blaise & Miyajima, Ken & Shu, Chang, 2018. "Emerging market local currency sovereign bond yields: The role of exchange rate risk," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 371-401.
  36. Sakemoto, Ryuta, 2018. "Do precious and industrial metals act as hedges and safe havens for currency portfolios?," Finance Research Letters, Elsevier, vol. 24(C), pages 256-262.
  37. Malliaris, A.G. & Malliaris, Mary, 2011. "Are foreign currency markets interdependent? evidence from data mining technologies," MPRA Paper 35261, University Library of Munich, Germany.
  38. Hutchinson, Mark C. & O'Brien, John, 2020. "Time series momentum and macroeconomic risk," International Review of Financial Analysis, Elsevier, vol. 69(C).
  39. Kwon, Oh Kang & Satchell, Stephen, 2018. "The distribution of cross sectional momentum returns," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 225-241.
  40. Dahlquist, Magnus & Pénasse, Julien, 2022. "The missing risk premium in exchange rates," Journal of Financial Economics, Elsevier, vol. 143(2), pages 697-715.
  41. Kunkler, Michael, 2022. "Hedging local currency risk with precious metals," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  42. Atanasov, Victoria & Nitschka, Thomas, 2014. "Currency excess returns and global downside market risk," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 268-285.
  43. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  44. Mario Cerrato & Zhekai Zhang, 2019. "Can we predict currency momentum crashes?," Working Papers 2019-12, Business School - Economics, University of Glasgow.
  45. Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2014. "International Diversification Benefits with Foreign Exchange Investment Styles," Review of Finance, European Finance Association, vol. 18(5), pages 1847-1883.
  46. Raza, Ahmad & Marshall, Ben R. & Visaltanachoti, Nuttawat, 2014. "Is there momentum or reversal in weekly currency returns?," Journal of International Money and Finance, Elsevier, vol. 45(C), pages 38-60.
  47. John Hua Fan & Adrian Fernandez‐Perez & Ana‐Maria Fuertes & Joëlle Miffre, 2020. "Speculative pressure," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 575-597, April.
  48. Taylor, Mark & Hsu, Po-Hsuan & Wang, Zigan, 2020. "The Out-of-Sample Performance of Carry Trades," CEPR Discussion Papers 15052, C.E.P.R. Discussion Papers.
  49. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
  50. Ying Hao & Hsiang-Hui Chu & Kuan-Cheng Ko & Lin Lin, 2016. "Momentum Strategies and Investor Sentiment in the REIT Market," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 41-71, March.
  51. van Zundert, Jeroen, 2018. "Empirical studies on the cross-section of corporate bond and stock markets," Other publications TiSEM 338205fc-a031-4e06-a636-9, Tilburg University, School of Economics and Management.
  52. Melvin, Michael & Prins, John & Shand, Duncan, 2013. "Forecasting Exchange Rates: an Investor Perspective," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 721-750, Elsevier.
  53. Choi, Jin Ho & Suh, Sangwon, 2022. "Conditionally-hedged currency carry trades," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  54. Victoria Dobrynskaya, 2014. "Downside Market Risk of Carry Trades," Review of Finance, European Finance Association, vol. 18(5), pages 1885-1913.
  55. Gino Cenedese & Richard Payne & Lucio Sarno & Giorgio Valente, 2016. "What Do Stock Markets Tell Us about Exchange Rates?," Review of Finance, European Finance Association, vol. 20(3), pages 1045-1080.
  56. Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2014. "Trend following, risk parity and momentum in commodity futures," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 1-12.
  57. Grobys, Klaus & Sapkota, Niranjan, 2019. "Cryptocurrencies and momentum," Economics Letters, Elsevier, vol. 180(C), pages 6-10.
  58. Auer, Benjamin R. & Rottmann, Horst, 2019. "Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?," Journal of Economics and Business, Elsevier, vol. 103(C), pages 61-79.
  59. Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Can skewness predict currency excess returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 628-641.
  60. Xue Jiang & Liyan Han & Yang Xu, 2021. "How does skewness perform in the Chinese commodity futures market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1268-1285, August.
  61. K. J. Hong & S. Satchell, 2013. "Time Series Momentum Trading Strategy and Autocorrelation Amplification," Cambridge Working Papers in Economics 1322, Faculty of Economics, University of Cambridge.
  62. Gueorgui Konstantinov, 2016. "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 337-365, August.
  63. Lin, Hung-Wen & Huang, Jing-Bo & Lin, Kun-Ben & Zhang, Joyce & Chen, Shu-Heng, 2020. "Which is the better fourth factor in China? Reversal or turnover?," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
  64. Michael Melvin & Frank Westermann, 2022. "Chinese Exchange Rate Policy: Lessons for Global Investors," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 145-168, February.
  65. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  66. Chen, Hongyi & Cao, Shuo, 2019. "Exchange Rate Movements and Fundamentals: Impact of Oil Prices and the People’s Republic of China’s Growth," ADBI Working Papers 938, Asian Development Bank Institute.
  67. Fernanda Gonçalves & Giuliano Ferreira & Alex Ferreira & Pedro Scatimburgo, 2022. "Currency returns and systematic risk," Manchester School, University of Manchester, vol. 90(6), pages 609-647, December.
  68. Katarzyna Bień-Barkowska, 2014. "Capturing Order Book Dynamics in the Interbank EUR/PLN Spot Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(1), pages 93-117, January.
  69. Xue Jiang & Liyan Han & Libo Yin, 2019. "Can skewness of the futures‐spot basis predict currency spot returns?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1435-1449, November.
  70. Ranaldo, Angelo & Somogyi, Fabricius, 2021. "Asymmetric information risk in FX markets," Journal of Financial Economics, Elsevier, vol. 140(2), pages 391-411.
  71. Stanislav Anatolyev & Nikolay Gospodinov & Ibrahim Jamali & Xiaochun Liu, 2015. "Foreign exchange predictability during the financial crisis: implications for carry trade profitability," FRB Atlanta Working Paper 2015-6, Federal Reserve Bank of Atlanta.
  72. Fan, Zhenzhen & Londono, Juan M. & Xiao, Xiao, 2022. "Equity tail risk and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 143(1), pages 484-503.
  73. Chen, Shu-Hsiu, 2017. "Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 1-20.
  74. Thomas A Maurer & Thuy-Duong Tô & Ngoc-Khanh Tran, 2023. "Market Timing and Predictability in FX Markets," Review of Finance, European Finance Association, vol. 27(1), pages 223-246.
  75. Liu, Yiye & Han, Liyan & Wu, You & Yin, Libo, 2022. "Do terrorist attacks matter for currency excess returns?," Finance Research Letters, Elsevier, vol. 49(C).
  76. Chang, Jeffery (Jinfan) & Du, Huancheng & Lou, Dong & Polk, Christopher, 2022. "Ripples into waves: Trade networks, economic activity, and asset prices," Journal of Financial Economics, Elsevier, vol. 145(1), pages 217-238.
  77. ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 75-97.
  78. Daniel Poh & Bryan Lim & Stefan Zohren & Stephen Roberts, 2021. "Enhancing Cross-Sectional Currency Strategies by Context-Aware Learning to Rank with Self-Attention," Papers 2105.10019, arXiv.org, revised Jan 2022.
  79. Potì, Valerio & Levich, Richard M. & Pattitoni, Pierpaolo & Cucurachi, Paolo, 2014. "Predictability, trading rule profitability and learning in currency markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 117-129.
  80. Athina Georgopoulou & Jiaguo (George) Wang, 2017. "The Trend Is Your Friend: Time-Series Momentum Strategies across Equity and Commodity Markets," Review of Finance, European Finance Association, vol. 21(4), pages 1557-1592.
  81. Louis Raffestin, 2016. "Foreign exchange investment rules and endogenous currency crashes," Working Papers hal-01277113, HAL.
  82. Theissen, Erik & Yilanci, Can, 2020. "Momentum? What Momentum?," CFR Working Papers 20-09, University of Cologne, Centre for Financial Research (CFR).
  83. Fangming Xu & Huainan Zhao & Liyi Zheng, 2022. "Investment momentum: A two‐dimensional behavioural strategy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1191-1207, January.
  84. Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
  85. Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Currency strategies based on momentum, carry trade and skewness," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 121-131.
  86. Papailias, Fotis & Liu, Jiadong & Thomakos, Dimitrios D., 2021. "Return signal momentum," Journal of Banking & Finance, Elsevier, vol. 124(C).
  87. Clare, Andrew & Seaton, James & Smith, Peter N. & Thomas, Stephen, 2016. "The trend is our friend: Risk parity, momentum and trend following in global asset allocation," Journal of Behavioral and Experimental Finance, Elsevier, vol. 9(C), pages 63-80.
  88. Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
  89. Chinn, Menzie D. & Ito, Hiro & McCauley, Robert N., 2022. "Do central banks rebalance their currency shares?," Journal of International Money and Finance, Elsevier, vol. 122(C).
  90. Christof Schmidhuber, 2020. "Trends, Reversion, and Critical Phenomena in Financial Markets," Papers 2006.07847, arXiv.org, revised Dec 2020.
  91. Hutchinson, Mark C. & Kyziropoulos, Panagiotis E. & O’Brien, John & O’Reilly, Philip & Sharma, Tripti, 2022. "Technical trading rule profitability in currencies: It’s all about momentum," Research in International Business and Finance, Elsevier, vol. 63(C).
  92. Craig Burnside & Mario Cerrato & Zhekai Zhang, "undated". "Foreign exchange order flow as a risk factor," Working Papers 2023-03, Business School - Economics, University of Glasgow.
  93. Barroso, Pedro & Santa-Clara, Pedro, 2015. "Momentum has its moments," Journal of Financial Economics, Elsevier, vol. 116(1), pages 111-120.
  94. Beckmann, Joscha & Schüssler, Rainer, 2016. "Forecasting exchange rates under parameter and model uncertainty," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 267-288.
  95. Lee, Namhoon & Choi, Wonseok & Pae, Yuntaek, 2021. "Market efficiency in foreign exchange market," Economics Letters, Elsevier, vol. 205(C).
  96. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
  97. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
  98. Yukun Liu & Aleh Tsyvinski & Xi Wu, 2022. "Common Risk Factors in Cryptocurrency," Journal of Finance, American Finance Association, vol. 77(2), pages 1133-1177, April.
  99. Tajaddini, Reza & Crack, Timothy Falcon, 2012. "Do momentum-based trading strategies work in emerging currency markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 521-537.
  100. McKinnon, Ronald & Liu, Zhao, 2013. "Hot Money Flows, Commodity Price Cycles, and Financial Repression in the US and the People’s Republic of China: The Consequences of Near Zero US Interest Rates," Working Papers on Regional Economic Integration 107, Asian Development Bank.
  101. Tzouvanas, Panagiotis & Kizys, Renatas & Tsend-Ayush, Bayasgalan, 2020. "Momentum trading in cryptocurrencies: Short-term returns and diversification benefits," Economics Letters, Elsevier, vol. 191(C).
  102. Cho, Dooyeon, 2021. "On the predictability of the distribution of excess returns in currency markets," International Journal of Forecasting, Elsevier, vol. 37(2), pages 511-530.
  103. Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
  104. Wang, Xinjie & Xiao, Yaqing & Yan, Hongjun & Zhang, Jinfan, 2021. "Under-reaction in the sovereign CDS market," Journal of Banking & Finance, Elsevier, vol. 130(C).
  105. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
  106. Simarjeet Singh & Nidhi Walia, 2020. "Time-Series And Cross-Sectional Momentum In Indian Stock Market," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 161-176.
  107. Ron Bird & Xiaojun Gao & Danny Yeung, 2017. "Time-series and cross-sectional momentum strategies under alternative implementation strategies," Australian Journal of Management, Australian School of Business, vol. 42(2), pages 230-251, May.
  108. Ronald McKinnon & Zhao Liu, 2013. "Zero Interest Rates in the United States Provoke World Monetary Instability and Constrict the US Economy," Review of International Economics, Wiley Blackwell, vol. 21(1), pages 49-56, February.
  109. Hasselgren, Anton & Peltomäki, Jarkko & Graham, Michael, 2020. "Speculator activity and the cross-asset predictability of FX returns," International Review of Financial Analysis, Elsevier, vol. 72(C).
  110. Oh Kang Kwon & Stephen Satchell, 2020. "The Distribution of Cross Sectional Momentum Returns When Underlying Asset Returns Are Student’s t Distributed," JRFM, MDPI, vol. 13(2), pages 1-19, February.
  111. Novotný, Jan & Petrov, Dmitri & Urga, Giovanni, 2015. "Trading price jump clusters in foreign exchange markets," Journal of Financial Markets, Elsevier, vol. 24(C), pages 66-92.
  112. Maiko Koga, 2016. "Momentum trading behavior in the FX market: Evidence from Japanese retail investors," Economics Bulletin, AccessEcon, vol. 36(1), pages 92-96.
  113. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
  114. Dobrynskaya, Victoria, 2019. "Avoiding momentum crashes: Dynamic momentum and contrarian trading," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  115. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, September.
  116. Levich, Richard M. & Potì, Valerio, 2015. "Predictability and ‘good deals’ in currency markets," International Journal of Forecasting, Elsevier, vol. 31(2), pages 454-472.
  117. Zhuang, Chunjuan, 2018. "Improving performance of exchange rate momentum strategy using volatility information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 741-753.
  118. Grobys, Klaus & Heinonen, Jari-Pekka & Kolari, James, 2018. "Return dispersion risk in FX and global equity markets: Does it explain currency momentum?," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 264-280.
  119. Melvin, Michael & Pan, Wenqiang & Wikstrom, Petra, 2020. "Retaining alpha: The effect of trade size and rebalancing frequency on FX strategy returns," Journal of Financial Markets, Elsevier, vol. 51(C).
  120. Bob Li & Mong Shan Ee & Mamunur Rashid, 2016. "Is momentum trading profitable from Shari'ah compliant stocks?," Review of Financial Economics, John Wiley & Sons, vol. 31(1), pages 56-63, November.
  121. Lee, Hsiu-Chuan & Lee, Yun-Huan & Lu, Yang-Cheng & Wang, Yu-Chun, 2020. "States of psychological anchors and price behavior of Japanese yen futures," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  122. Laborda, Ricardo, 2018. "Optimal combination of currency strategies," The North American Journal of Economics and Finance, Elsevier, vol. 43(C), pages 129-140.
  123. Shi, Huai-Long & Zhou, Wei-Xing, 2017. "Wax and wane of the cross-sectional momentum and contrarian effects: Evidence from the Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 397-407.
  124. Jun Yuan & Qi Xu & Ying Wang, 2023. "Probability weighting in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 516-548, April.
  125. Nucera, Federico, 2017. "Unemployment fluctuations and the predictability of currency returns," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 88-106.
  126. Cheung, Yin-Wong & Wang, Wenhao, 2022. "Uncovered interest rate parity redux: Non-uniform effects," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 133-151.
  127. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.
  128. Wouassom, Alain & Muradoğlu, Yaz Gülnur & Tsitsianis, Nicholas, 2022. "Global momentum: The optimal trading approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  129. Chang, Hao-Wen & Lin, Chinho, 2023. "Currency portfolio behavior in seven major Asian markets," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 540-559.
  130. Bartsch, Zachary, 2019. "Economic policy uncertainty and dollar-pound exchange rate return volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  131. Paolo Manasse & Graziano Moramarco & Giulio Trigilia, 2024. "Exchange rates and political uncertainty: the Brexit case," Economica, London School of Economics and Political Science, vol. 91(362), pages 621-652, April.
  132. Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2021. "Momentum-managed equity factors," SAFE Working Paper Series 317, Leibniz Institute for Financial Research SAFE.
  133. Dagfinn Rime & Andreas Schrimpf, 2013. "The anatomy of the global FX market through the lens of the 2013 Triennial Survey," BIS Quarterly Review, Bank for International Settlements, December.
  134. Tong Fang & Zhi Su & Libo Yin, 2021. "Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market," Empirical Economics, Springer, vol. 60(5), pages 2155-2176, May.
  135. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
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