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dc.contributor.authorBianchi, Robert J.
dc.contributor.authorDrew, Michael E.
dc.contributor.authorPolichronis, John
dc.date.accessioned2018-10-30T06:52:23Z
dc.date.available2018-10-30T06:52:23Z
dc.date.issued2005
dc.date.modified2010-08-02T07:21:28Z
dc.identifier.issn10974954
dc.identifier.doi10.1504/GBER.2005.007613
dc.identifier.urihttp://hdl.handle.net/10072/32800
dc.description.abstractIn this trading strategy study, we ask three questions: does momentum exist in foreign exchange markets? What is the impact of transaction costs on excess returns? Can a consolidated trading signal garner excess returns and if so, what is the source of such returns? Using total return momentum strategies in the foreign exchange markets of the G7 for the period 1980 through 2004, the answers from this study are as follows: we find evidence of momentum; however, such momentum appears transitory, particularly for longer lookback periods. As expected, transaction costs have a material negative impact on excess returns. Finally, a consolidated signal garners excess returns; however, a bootstrap simulation finds that the source of these returns is a function of autocorrelation.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherInderscience
dc.publisher.placeWorcester MA
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom155
dc.relation.ispartofpageto179
dc.relation.ispartofissue2/3
dc.relation.ispartofjournalGlobal Business and Economics Review
dc.relation.ispartofvolume7
dc.rights.retentionY
dc.subject.fieldofresearchApplied Economics not elsewhere classified
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchcode140299
dc.subject.fieldofresearchcode1402
dc.titleA test of momentum trading strategies in foreign exchange markets: evidence from the G7
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2005 Inderscience Publishers. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal website for access to the definitive, published version.
gro.date.issued2005
gro.hasfulltextFull Text
gro.griffith.authorDrew, Michael E.


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