Advanced search
Publication Cover
Applied Economics Letters Volume 24, 2017 - Issue 20
Submit an article Journal homepage
175
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

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

Klaus GrobysUniversity of Vaasa, Vaasa, FinlandCorrespondence[email protected]
&
Jesper HagaHanken School of Economics, Vaasa, Finland
Pages 1499-1503 | Published online: 08 Mar 2017

References

  • Burnside, C., M. Eichenbaum, I. Kleshchelski, and S. Rebelo. 2011. “Do Peso Problems Explain the Returns to the Carry Trade?” Review of Financial Studies 24: 853–891. doi:10.1093/rfs/hhq138.
  • Daniel, K., and T. Moskowitz. 2016. “Momentum Crashes.” Journal of Financial Economics 122: 221–247. doi:10.1016/j.jfineco.2015.12.002.
  • Gómez-González, J. E., and A. F. García-Suaza. 2012. “A Simple Test of Momentum in Foreign Exchange Markets.” Emerging Markets Finance and Trade 48: 66–77. doi:10.2753/REE1540-496X480504.
  • Goyal, A., and S. Wahal. 2015. “Is Momentum An Echo?.” Journal of Financial and Quantitative Analysis 50: 1237-1267.
  • Grobys, K. 2016. “Another Look at Momentum Crashes: Momentum in the European Monetary Union.” Applied Economics 48: 1759–1766. doi:10.1080/00036846. 2015.1105931.
  • Lustig, H., N. Roussanov, and A. Verdelhan. 2011. “Common Risk Factors in Currency Markets.” Review of Financial Studies 24: 3731–3777. doi:10.1093/rfs/hhr068.
  • Menkhoff, L., L. Sarno, M. Schmeling, and A. Schrimpf. 2012a. “Currency Momentum Strategies.” Journal of Financial Economics 106: 660–684. doi:10.1016/j.jfineco.2012.06.009.
  • Menkhoff, L., L. Sarno, M. Schmeling, and A. Schrimpf. 2012b. “Carry Trades and Global Foreign Exchange Volatility.” Journal of Finance 67: 681–718. doi:10.1111/j.1540-6261.2012.01728.x.
  • Moskowitz, T., Y. Ooi, and L. H. Pedersen. 2012. “Time Series Momentum.” Journal of Financial Economics 104: 228–250. doi:10.1016/j.jfineco.2011.11.003.
  • Newey, W., and K. West. 1987. “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica 55: 703–708. doi:10.2307/1913610.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.