A test of momentum trading strategies in foreign exchange markets: Evidence from the G7
Bianchi, Robert J., Drew, Michael E., & Polichronis, John (2005) A test of momentum trading strategies in foreign exchange markets: Evidence from the G7. Global Business and Economics Review, 7(2-3), pp. 155-179.
Abstract: In this trading strategy study, we ask three questions. • does momentum exist in foreign exchange markets? • what is the impact of transaction costs on excess returns? • can a consolidated trading signal garner excess returns and if so, what is the source of such returns? Using total return momentum strategies in the foreign exchange markets of the G7 for the period 1980 through 2004, the answers from this study are as follows: we find evidence of momentum; however, such momentum appears transitory, particularly for longer lookback periods. As expected, transaction costs have a material negative impact on excess returns. Finally, a consolidated signal garners excess returns; however, a bootstrap simulation finds that the source of these returns is a function of autocorrelation.
Impact and interest:
Citation countsare sourced monthly fromand citation databases.
These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.
Citations counts from theindexing service can be viewed at the linked Google Scholar™ search.
|Item Type:||Journal Article|
|Additional Information:||For more information, please refer to the journal's website (see hypertext link) or contact the author. Author contact details: firstname.lastname@example.org|
|Keywords:||foreign exchange markets, total return momentum, trading rules, trading strategy, G7, transaction costs, excess returns, consolidated trading signals|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2005 Inderscience|
|Deposited On:||28 Jun 2007|
|Last Modified:||29 Feb 2012 23:13|
Repository Staff Only: item control page