Diversification role of currency momentum for carry trade: Evidence from financial crises
E Yamani - Journal of Multinational Financial Management, 2019 - Elsevier
The main objective of this paper is to investigate the diversification role of currency
momentum for carry trade crashes during the turbulent periods surrounding the 1997–1998
Asian financial crisis and the 2007–2008 global financial crisis. The motivation is to use an
important tendency of momentum strategy to yield statistically and economically significant
profits during crisis periods that are far higher than the crashes commonly experienced with
the carry trade. I use an empirical heterogeneous agent model to design a new trading …
momentum for carry trade crashes during the turbulent periods surrounding the 1997–1998
Asian financial crisis and the 2007–2008 global financial crisis. The motivation is to use an
important tendency of momentum strategy to yield statistically and economically significant
profits during crisis periods that are far higher than the crashes commonly experienced with
the carry trade. I use an empirical heterogeneous agent model to design a new trading …
以上显示的是最相近的搜索结果。 查看全部搜索结果