Momentum strategy in FX market: a profitable investment strategy
Mantovani, Francesco (A.A. 2022/2023) Momentum strategy in FX market: a profitable investment strategy. Tesi di Laurea in International financial economics, Luiss Guido Carli, relatore Guido Traficante, pp. 82. [Master's Degree Thesis]
Full text for this thesis not available from the repository.
Abstract/Index
The forward oremium puzzle. Covered interest parity (CIP). Uncovered interest parity (UIP). Covered interest parity (CIP): empirical evidence. Empirical evidence on UIP and FRU. What is the forward premium puzzle? The momentum strategy. Momentum strategy in the equity market. Momentum strategy in the bond market. Momentum in the FX market. Comparision between momentum and carry trade: empirical evidence by Menkhoff et al. The profitability of momentum strategy applied to FX market. The profitability of momentum strategy applied to FX market. Data source and sample currencies description. Methodology. Main descriptive statistics. Momentum strategy in a sub-sample: developed vs emerging countries.
References
Bibliografia: pp. 66-68.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | International financial economics |
| Thesis Supervisor: | Traficante, Guido |
| Thesis Co-Supervisor: | De Arcangelis, Giuseppe |
| Academic Year: | 2022/2023 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 24 Jan 2024 11:53 |
| Last Modified: | 24 Jan 2024 11:53 |
| URI: | https://tesi.luiss.it/id/eprint/37699 |
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