Puzzling premiums on FX markets: carry trade, momentum, and value alone and strategy diversification

Author Affiliation

Qaiser Munir is Professor at Institute of Business Administration (IBA), Karachi

Faculty / School

Faculty of Business Administration (FBA)

Department

Department of Economics

Was this content written or created while at IBA?

Yes

Document Type

Article

Source Publication

Emerging Markets Finance and Trade

ISSN

1540-496X

Disciplines

Econometrics | Economics | Finance

Abstract

We construct and compare the results of exploiting individual investment strategies: carry trade, momentum, and value and estimate the benefits from strategy diversification. Our analysis is based on the set of 10 major currencies and the expanded sample additionally including 16 emerging market currencies. We implement strategies in FX markets against the ruble instead of the US dollar, as is common in the currency literature. We find that the performance of strategies varies with the change of the ruble regime. We also provide proof that combining strategies, based on volatility, offers significant improvement in risk-adjusted returns compared to either of the two strategies independently or to benchmarks.

Indexing Information

HJRS - W Category, Scopus, Web of Science - Social Sciences Citation Index (SSCI)

Journal Quality Ranking

Impact Factor: 1.214

Publication Status

Published

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