create a website

Currency momentum strategies based on the Chinese Yuan: Timing of foreign exchange volatility. (2021). Chen, Miao-Ling ; Hsu, Ching-Chi.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000342.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 41

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Macroeconomic momentum and cross-sectional equity market indices. (2024). Urquhart, Andrew ; Zhang, YU ; Kappou, Konstantina.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000404.

    Full description at Econpapers || Download paper

  2. Correlation-based investment strategies: A comparison between Chinese and US stock markets. (2023). Zhang, Zhehao ; Shao, Yifei ; Xing, Ruina ; Liu, Jiajun.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x2300238x.

    Full description at Econpapers || Download paper

  3. Can Bitcoin hedge Belt and Road equity markets?. (2021). Sha, Yezhou ; Song, Weijia.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321002105.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Akram, Q.F. ; Rime, D. ; Sarno, L. Arbitrage in the foreign exchange market: turning on the microscope. 2008 J. Int. Econ.. 76 237-253

  2. Asness, C.S. ; Moskowitz, T.J. ; Pedersen, L.H. Value and momentum everywhere. 2013 J. Financ.. 68 929-985

  3. Beine, M. ; Candelon, B. Liberalisation and stock market co-movement between emerging economies. 2011 Quantitative Finance. 11 299-312

  4. Belke, A. ; Dubova, I. International spillovers in global asset markets. 2018 Econ. Syst.. 42 3-17

  5. Boons, M. ; Prado, M.P. Basis-Momentum. 2019 J. Finance. 74 239-279
    Paper not yet in RePEc: Add citation now
  6. Brooks, R. ; Negro, M.D. Firm-level evidence on international stock market comovement. 2006 Rev. Financ.. 10 69-98

  7. Chiang, T.C. ; Jiang, C.X. Foreign exchange returns over short and long horizons. 1995 Int. Rev. Econ. Financ.. 4 267-282

  8. Chortareas, G. ; Noikokyris, E. Federal reserve's policy, global equity markets, and the local monetary policy stance. 2017 J. Bank. Finance. 77 317-327

  9. Coleman, S. ; Leone, V. ; de Medeiros, O.R. Latin American stock market dynamics and comovement. 2019 Int. J. Financ. Econ.. 24 1109-1129

  10. Dahlquist, M. ; Hasseltoft, H. Economic momentum and currency returns. 2020 J. Financ. Econ.. 136 152-167

  11. Daniel, K. ; Moskowitz, T.J. Momentum crashes. 2016 J. Financ. Econ.. 122 221-247
    Paper not yet in RePEc: Add citation now
  12. Dueker, M. ; Neely, C.J. Can Markov switching models predict excess foreign exchange returns?. 2007 J. Bank. Finance. 31 279-296

  13. Forbes, K.J. ; Rigobon, R. No contagion, only interdependence: measuring stock market comovements. 2002 Journal of Finance. 57 2223-2261
    Paper not yet in RePEc: Add citation now
  14. Fratzscher, M. ; Lo Duca, M. ; Straub, R. On the international spillovers of US quantitative easing. 2018 Econ. J.. 128 330-377

  15. Galariotis, E.C. What should we know about momentum investing? The case of the Australian Security Exchange. 2010 Pacific-Basin Finance Journal. 18 369-389

  16. George, T.J. ; Hwang, C.Y. The 52-week high and momentum investing. 2004 J. Finance. 59 2145-2176

  17. Glosten, L.R. ; Jagannathan, R. ; Runkle, D.E. On the relation between the expected value and the volatility of the nominal excess return on stocks. 1993 J. Finance. 48 1779-1801

  18. Grilli, V. ; Roubini, N. Financial integration, liquidity and exchange rates. 1989 National Bureau of Economic Research. -

  19. Grilli, V. ; Roubini, N. Liquidity and exchange rates. 1992 J. Int. Econ.. 32 339-352

  20. Grobys, K. ; Sapkota, N. Cryptocurrencies and momentum. 2019 Econ. Lett.. 180 6-10

  21. Hakkio, C.S. Profit-making speculation in foreign exchange markets. 1993 J. Financ.. 48 2044-2047
    Paper not yet in RePEc: Add citation now
  22. He, F. ; Lucey, B. ; Wang, Z. Trade policy uncertainty and its impact on the stock market-evidence from China-US trade conflict. 2020 Financ. Res. Lett.. 101753 -
    Paper not yet in RePEc: Add citation now
  23. Hussain, S.M. ; Omrane, W.B. ; Al-Yahyaee, K. US macroeconomic news effects around the US and European financial crises: evidence from Brazilian and Mexican equity indices. 2019 Global Finance J.. 100482 -
    Paper not yet in RePEc: Add citation now
  24. Jegadeesh, N. ; Titman, S. Returns to buying winners and selling losers: implications for stock market efficiency. 1993 J. Financ.. 48 65-91

  25. Johnson, R. ; Soenen, L. Asian economic integration and stock market comovement. 2002 J. Financ. Res.. 25 141-157

  26. Johnson, R. ; Soenen, L. Economic integration and stock market comovement in the Americas. 2003 J. Multinational Financ. Manage.. 13 85-100

  27. Kirby, C. ; Ostdiek, B. It’s all in the timing: simple active portfolio strategies that outperform naive diversification. 2012 J. Financ. Quantitat. Anal.. 47 437-467

  28. Kiviaho, J. ; Nikkinen, J. ; Piljak, V. ; Rothovius, T. The co-movement dynamics of European frontier stock markets. 2014 Eur. Financ. Manage.. 20 574-595

  29. Lehkonen, H. ; Heimonen, K. Timescale-dependent stock market comovement: BRICs vs. developed markets. 2014 J. Empirical Financ.. 28 90-103

  30. Loh, L. Co-movement of Asia-Pacific with European and US stock market returns: a cross-time-frequency analysis. 2013 Res. Int. Business Finance. 29 1-13

  31. Menkhoff, L. ; Sarno, L. ; Schmeling, M. ; Schrimpf, A. Carry trades and global foreign exchange volatility. 2012 J. Finance. 67 681-718

  32. Menkhoff, L. ; Sarno, L. ; Schmeling, M. ; Schrimpf, A. Currency momentum strategies. 2012 J. Financ. Econ.. 106 660-684

  33. Neely, C. ; Weller, P. ; Dittmar, R. Is technical analysis in the foreign exchange market profitable? A genetic programming approach. 1997 J. Financ. Quantitat. Anal.. 405-426

  34. Newey, W.K. ; West, K.D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708

  35. Okunev, J. ; White, D. Do momentum-based strategies still work in foreign currency markets?. 2003 J. Financ. Quantit. Anal.. 425-447

  36. Raphael Paschke, M.P. ; Simen, C.W. Curve momentum. 2020 J. Bank. Finance. 113 -
    Paper not yet in RePEc: Add citation now
  37. Raza, A. ; Marshall, B.R. ; Visaltanachoti, N. Is there momentum or reversal in weekly currency returns?. 2014 J. Int. Money Finance. 45 38-60

  38. Tajaddini, R. ; Crack, T.F. Do momentum-based trading strategies work in emerging currency markets?. 2012 J. Int. Financ. Markets Institut. Money. 22 521-537

  39. Tzouvanas, P. ; Kizys, R. ; Tsend-Ayush, B. Momentum trading in cryptocurrencies: short-term returns and diversification benefits. 2020 Econ. Lett.. 191 -

  40. Wang, X. ; Luo, Y. ; Wang, Z. ; Xu, Y. ; Wu, C. The impact of economic policy uncertainty on volatility of China’s financial stocks: an empirical analysis. 2020 Finance Res. Lett.. 101650 -
    Paper not yet in RePEc: Add citation now
  41. Zhang, D. ; Lei, L. ; Ji, Q. ; Kutan, A.M. Economic policy uncertainty in the US and China and their impact on the global markets. 2019 Econ. Model.. 79 47-56

Cocites

Documents in RePEc which have cited the same bibliography

  1. The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher.
    In: MPRA Paper.
    RePEc:pra:mprapa:80788.

    Full description at Econpapers || Download paper

  2. Carry Trades, Order Flow and the Forward Bias Puzzle. (2015). Vitale, Paolo ; Rime, Dagfinn ; Breedon, Francis.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp761.

    Full description at Econpapers || Download paper

  3. Arbitrage and the Law of One Price: Setting the Record Straight. (2015). Pippenger, John.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt27t4q265.

    Full description at Econpapers || Download paper

  4. Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?. (2014). Tsiakas, Ilias ; Wang, Wei ; Li, Jiahan.
    In: Working Paper series.
    RePEc:rim:rimwps:05_14.

    Full description at Econpapers || Download paper

  5. Foreign Exchange Risk and the Predictability of Carry Trade Returns. (2014). Tsiakas, Ilias ; Sarno, Lucio ; Cenedese, Gino.
    In: Working Paper series.
    RePEc:rim:rimwps:02_14.

    Full description at Econpapers || Download paper

  6. Common Macro Factors and Currency Premia. (2014). Taylor, Mark ; Filippou, Ilias.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10016.

    Full description at Econpapers || Download paper

  7. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
    In: MPRA Paper.
    RePEc:pra:mprapa:53745.

    Full description at Econpapers || Download paper

  8. The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis. (2013). Nath, Golaka .
    In: MPRA Paper.
    RePEc:pra:mprapa:51591.

    Full description at Econpapers || Download paper

  9. The performance of NDF carry trades. (2013). Doukas, John A. ; Zhang, Hao.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:36:y:2013:i:c:p:172-190.

    Full description at Econpapers || Download paper

  10. Are capital controls in the foreign exchange market effective?. (2013). Wolff, Christian ; Versteeg, Roald ; Straetmans, Stefan ; Wolff, Christian C. P., ; Straetmans, Stefan T. M., .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:35:y:2013:i:c:p:36-53.

    Full description at Econpapers || Download paper

  11. The microstructure of covered interest arbitrage in a market with a dominant market maker. (2013). Witte, Mark ; Liu, Hao-Chen.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:24:y:2013:i:c:p:25-41.

    Full description at Econpapers || Download paper

  12. THE FAILURE OF UNCOVERED INTEREST PARITY, FORWARD BIAS AND RELATED PUZZLES. (2013). Pippenger, John.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt50n5p8bv.

    Full description at Econpapers || Download paper

  13. Information flows in foreign exchange markets: dissecting customer currency trades. (2013). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Mankhoff, Lukas .
    In: BIS Working Papers.
    RePEc:bis:biswps:405.

    Full description at Econpapers || Download paper

  14. Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity. (2012). Ranaldo, Angelo ; Griffoli, Tommaso Mancini.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:12.

    Full description at Econpapers || Download paper

  15. Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés. (2012). Choy, Marylin ; Cerna, Jorge.
    In: Working Papers.
    RePEc:rbp:wpaper:2012-021.

    Full description at Econpapers || Download paper

  16. Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets. (2012). Ito, Takatoshi ; Takayasu, Misako ; Yamada, Kenta.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18541.

    Full description at Econpapers || Download paper

  17. Dollar Funding and the Lending Behavior of Global Banks. (2012). Stein, Jeremy ; Scharfstein, David ; Ivashina, Victoria.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18528.

    Full description at Econpapers || Download paper

  18. Overcoming the Fear of Free Falling: Monetary Policy Graduation in Emerging Markets. (2012). Vuletin, Guillermo ; Vegh, Carlos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:18175.

    Full description at Econpapers || Download paper

  19. Dollar funding and the lending behavior of global banks. (2012). Stein, Jeremy ; Scharfstein, David.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2012-74.

    Full description at Econpapers || Download paper

  20. Global liquidity risk in the foreign exchange market. (2012). Sarno, Lucio ; Phylaktis, Kate ; Banti, Chiara.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:2:p:267-291.

    Full description at Econpapers || Download paper

  21. Currency momentum strategies. (2012). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:660-684.

    Full description at Econpapers || Download paper

  22. A new interpretation of known facts: The case of two-way causality between trading and volatility. (2012). www.s-e-i.ch, deactivated account ; Mller, Christian.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:3:p:664-670.

    Full description at Econpapers || Download paper

  23. Currency Momentum Strategies. (2012). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8747.

    Full description at Econpapers || Download paper

  24. What Covered Interest Parity Implies about the Theory of Uncovered Interest Parity.. (2012). Pippenger, John.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt0zk6t2hj.

    Full description at Econpapers || Download paper

  25. The solution to the forward-bias puzzle: Reply. (2011). John, Pippenger .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:4:p:629-636.

    Full description at Econpapers || Download paper

  26. A comment on: The solution to the forward-bias puzzle. (2011). Alan, King .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:4:p:623-628.

    Full description at Econpapers || Download paper

  27. The solution to the forward-bias puzzle. (2011). Pippenger, John.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:21:y:2011:i:2:p:296-304.

    Full description at Econpapers || Download paper

  28. A COMPLETE SOLUTION TO THE FORWARD-BIAS PUZZLE. (2011). Pippenger, John.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt5gq9z4j0.

    Full description at Econpapers || Download paper

  29. The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?. (2011). Sestieri, Giulia ; Sarno, Lucio ; Della Corte, P..
    In: Working papers.
    RePEc:bfr:banfra:313.

    Full description at Econpapers || Download paper

  30. Convertibility Restriction Determination in Chinas Foreign Exchange Market and its Impact of Forward Pricing. (2010). Wang, YI.
    In: Discussion Papers.
    RePEc:sip:dpaper:09-024.

    Full description at Econpapers || Download paper

  31. The Drivers of Cross Market Arbitrage Opportunities: Theory and Evidence for the European Bond Market. (2010). Perlin, Marcelo ; Dufour, Alfonso ; Brooks, Chris.
    In: MPRA Paper.
    RePEc:pra:mprapa:23381.

    Full description at Econpapers || Download paper

  32. A stochastic dominance analysis of yen carry trades. (2010). Fong, Wai Mun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:6:p:1237-1246.

    Full description at Econpapers || Download paper

  33. Covered interest arbitrage profits: The role of liquidity and credit risk. (2010). Valente, Giorgio ; Fong, Wai-Ming ; Fung, Joseph K. W., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:5:p:1098-1107.

    Full description at Econpapers || Download paper

  34. Timing exchange rates using order flow: The case of the Loonie. (2010). Sojli, Elvira ; Sarno, Lucio ; King, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:12:p:2917-2928.

    Full description at Econpapers || Download paper

  35. Exchange rate forecasting, order flow and macroeconomic information. (2010). Sojli, Elvira ; Sarno, Lucio ; Rime, Dagfinn.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:80:y:2010:i:1:p:72-88.

    Full description at Econpapers || Download paper

  36. The forward premium puzzle in the interwar period and deviations from covered interest parity. (2010). Peel, David ; Paya, Ivan ; Spiru, Alina.
    In: Economics Letters.
    RePEc:eee:ecolet:v:108:y:2010:i:1:p:55-57.

    Full description at Econpapers || Download paper

  37. A Transaction Data Study of the Forward Bias Puzzle. (2010). Vitale, Paolo ; Rime, Dagfinn ; Breedon, Francis.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7791.

    Full description at Econpapers || Download paper

  38. The Solution to the Forward-Bias and Related Puzzles. (2010). Pippenger, John E.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt6br3599r.

    Full description at Econpapers || Download paper

  39. Puzzle solver. (2009). www.s-e-i.ch, deactivated account ; Christian, Mueller-Kademann .
    In: MPRA Paper.
    RePEc:pra:mprapa:19852.

    Full description at Econpapers || Download paper

  40. Carry Trades and Global FX Volatility. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Sarno, Lucio ; Menkhoff, Lukas.
    In: MPRA Paper.
    RePEc:pra:mprapa:14728.

    Full description at Econpapers || Download paper

  41. Crash Risk in Currency Markets. (2009). Verdelhan, Adrien ; Ranciere, Romain ; Gabaix, Xavier ; Fraiberger, Samuel Paul.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15062.

    Full description at Econpapers || Download paper

  42. From turmoil to crisis: Dislocations in the FX swap market before and after the failure of Lehman Brothers. (2009). Packer, Frank ; Baba, Naohiko.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:8:p:1350-1374.

    Full description at Econpapers || Download paper

  43. Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08. (2009). Packer, Frank ; Baba, Naohiko.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:11:p:1953-1962.

    Full description at Econpapers || Download paper

  44. Does the law of one price hold in international financial markets? Evidence from tick data. (2009). Sarno, Lucio ; Rime, Dagfinn ; Akram, Qaisar.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:10:p:1741-1754.

    Full description at Econpapers || Download paper

  45. Exchange Rate Forecasting, Order Flow and Macroeconomic Information. (2009). Sojli, Elvira ; Sarno, Lucio ; Rime, Dagfinn.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7225.

    Full description at Econpapers || Download paper

  46. The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity. (2009). Pippenger, John.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt4dd1075r.

    Full description at Econpapers || Download paper

  47. The Forward-Bias Puzzle: A Solution Based on Covered Interest Parity. (2009). Pippenger, John E.
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt05d0t24b.

    Full description at Econpapers || Download paper

  48. From turmoil to crisis: dislocations in the FX swap market before and after the failure of Lehman Brothers. (2009). Packer, Frank ; Baba, Naohiko.
    In: BIS Working Papers.
    RePEc:bis:biswps:285.

    Full description at Econpapers || Download paper

  49. FX Arbitrage and Market Liquidity: Statistical Significance and Economic Value. (2008). Valente, Giorgio ; Fong, Wai-Ming ; Joseph K. W. Fung, .
    In: Working Papers.
    RePEc:hkm:wpaper:082008.

    Full description at Econpapers || Download paper

  50. Interpreting deviations from covered interest parity during the financial market turmoil of 2007-08. (2008). Packer, Frank ; Baba, Naohiko.
    In: BIS Working Papers.
    RePEc:bis:biswps:267.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-02 21:21:30 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.