FX Premia Around the Clock

Ingomar Krohn, Philippe Mueller, Paul Whelan

Research output: Contribution to conferencePaperResearch

Abstract

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.
Original languageEnglish
Publication date2018
Number of pages49
Publication statusPublished - 2018
Event13th Annual Hedge Fund Conference - The Berkeley Hotel, Knightsbridge, London, United Kingdom
Duration: 5 Dec 20185 Dec 2018
Conference number: 13
https://www.imperial.ac.uk/business-school/events/school-events/13th-annual-hedge-fund-conference/

Conference

Conference13th Annual Hedge Fund Conference
Number13
LocationThe Berkeley Hotel, Knightsbridge
CountryUnited Kingdom
CityLondon
Period05/12/201805/12/2018
Internet address

Keywords

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

Cite this

Krohn, I., Mueller, P., & Whelan, P. (2018). FX Premia Around the Clock. Paper presented at 13th Annual Hedge Fund Conference, London, United Kingdom.
Krohn, Ingomar ; Mueller, Philippe ; Whelan, Paul. / FX Premia Around the Clock. Paper presented at 13th Annual Hedge Fund Conference, London, United Kingdom.49 p.
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Krohn, I, Mueller, P & Whelan, P 2018, 'FX Premia Around the Clock' Paper presented at, London, United Kingdom, 05/12/2018 - 05/12/2018, .

FX Premia Around the Clock. / Krohn, Ingomar; Mueller, Philippe; Whelan, Paul.

2018. Paper presented at 13th Annual Hedge Fund Conference, London, United Kingdom.

Research output: Contribution to conferencePaperResearch

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AU - Mueller, Philippe

AU - Whelan, Paul

PY - 2018

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N2 - 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.

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Krohn I, Mueller P, Whelan P. FX Premia Around the Clock. 2018. Paper presented at 13th Annual Hedge Fund Conference, London, United Kingdom.