Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market

Klaus Grobys; Jesper Per Alexander Haga

doi:10.1080/13504851.2017.1287852

Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market

Klaus Grobys, Jesper Per Alexander Haga

Finance, Vaasa

University of Vaasa

Research output: Contribution to journal › Article › Scientific › peer-review

3 Citations (Scopus)

Abstract

This article studies the option-like behaviour of popular momentum strategies implemented in foreign exchange markets. The results confirm recent research findings of strong option-like behaviour for momenutm measures, based on the cumulative return from 12 and 6 months prior to the formation date Surprisingly, there is no such evidence for the popular momentum strategy accounting for a 1-month formation period.

Original language	English
Peer-reviewed scientific journal	Applied Economics Letters
Volume	24
Issue number	20
Pages (from-to)	1499-1503
Number of pages	5
ISSN	1350-4851
DOIs	https://doi.org/10.1080/13504851.2017.1287852
Publication status	Published - 2017
MoE publication type	A1 Journal article - refereed

Keywords

512 Business and Management
Asset pricing
international financial markets
momentum crash
foreign exchange markets
currency markets

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10.1080/13504851.2017.1287852

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Are momentum crashes pervasive regardless of strategy? Evidence from the foreign exchange market

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