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 language | English |
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Publication date | 2018 |
Number of pages | 49 |
Publication status | Published - 2018 |
Event | 13th Annual Hedge Fund Conference - The Berkeley Hotel, Knightsbridge, London, United Kingdom Duration: 5 Dec 2018 → 5 Dec 2018 Conference number: 13 https://www.imperial.ac.uk/business-school/events/school-events/13th-annual-hedge-fund-conference/ |
Conference
Conference | 13th Annual Hedge Fund Conference |
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Number | 13 |
Location | The Berkeley Hotel, Knightsbridge |
Country/Territory | United Kingdom |
City | London |
Period | 05/12/2018 → 05/12/2018 |
Internet address |
Keywords
- Foreign-exchange
- Carry trade
- Dollar carry trade
- High-frequency data