Is exchange rate trading profitable?

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

Research output: Contribution to journalArticleResearchpeer-review

14 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)217-229
Number of pages13
JournalJournal of International Financial Markets, Institutions and Money
Volume38
DOIs
Publication statusPublished - Sept 2015
Externally publishedYes

Keywords

  • Emerging Markets
  • Exchange Rate
  • High Frequency Data
  • Momentum Trading Strategies
  • Profits

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