FX Premia Around the Clock

Ingomar Krohn, Philippe Mueller, Paul Whelan

Publikation: KonferencebidragPaperForskning

Abstrakt

We dissect return dynamics in the foreign exchange market into different componentsover the 24-hour day and revisit well-known trading strategies such as carry, dollar carryand momentum. Using twenty-four years of high-frequency data on G10 currencies we showthat positive average returns for going long foreign currencies are almost entirely generatedduring U.S. main trading hours. During U.S. overnight periods almost all currencies depre-ciate against the U.S. dollar. Returns from the carry and dollar carry strategies are largelygenerated intraday, while momentum strategies are most profitable overnight. This new evi-dence sheds light on our understanding of currency markets and has important implicationsfor future theoretical and empirical work.
OriginalsprogEngelsk
Publikationsdato2018
Antal sider49
StatusUdgivet - 2018
Begivenhed13th Annual Hedge Fund Conference - The Berkeley Hotel, Knightsbridge, London, Storbritannien
Varighed: 5 dec. 20185 dec. 2018
Konferencens nummer: 13
https://www.imperial.ac.uk/business-school/events/school-events/13th-annual-hedge-fund-conference/

Konference

Konference13th Annual Hedge Fund Conference
Nummer13
LokationThe Berkeley Hotel, Knightsbridge
LandStorbritannien
ByLondon
Periode05/12/201805/12/2018
Internetadresse

Emneord

  • Foreign-exchange
  • Carry trade
  • Dollar carry trade
  • High-frequency data

Citationsformater

Krohn, I., Mueller, P., & Whelan, P. (2018). FX Premia Around the Clock. Paper præsenteret på 13th Annual Hedge Fund Conference, London, Storbritannien. https://imperialcollegelondon.app.box.com/s/j7flhqea2idn6e1e3w0r4h5u52n95fxd/file/363898591947