Is There Momentum or Reversal in Weekly Currency Returns?

41 Pages Posted: 30 Apr 2013 Last revised: 10 Jun 2015

See all articles by Ahmad Raza

Ahmad Raza

University of Otago - Department of Accountancy and Finance

Ben R. Marshall

Massey University - School of Economics and Finance

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

Date Written: April 22, 2013

Abstract

We investigate whether momentum or reversal is the dominant phenomenon in short horizon (one- to four-week) foreign exchange rate returns. We find, based on a broad sample of 63 emerging and developed market currencies, evidence of momentum rather than reversal. Momentum returns are as large as 9% p.a. The short-term momentum effect appears to be robust. Returns are larger in the earlier sub-period but still exist in the more recent period. The strategies are also profitable in US recessions and expansions, and in up and down currency markets.

Keywords: currency, momentum, reversal

JEL Classification: F31, G15

Suggested Citation

Raza, Ahmad and Marshall, Ben R. and Visaltanachoti, Nuttawat, Is There Momentum or Reversal in Weekly Currency Returns? (April 22, 2013). 26th Australasian Finance and Banking Conference 2013. Available at SSRN: https://ssrn.com/abstract=2258253 or http://dx.doi.org/10.2139/ssrn.2258253

Ahmad Raza (Contact Author)

University of Otago - Department of Accountancy and Finance ( email )

PO Box 56
Dunedin, 9054
New Zealand

Ben R. Marshall

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
Palmerston North, 30974
New Zealand
64 6 350 5799 (Phone)
64 6 350 5651 (Fax)

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

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