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Citation

Thesis Title
Essays on Foreign Exchange Rate Predictability

Read article at Massey Research Online:

Mr Raza examined the profitability of various investment strategies in the foreign exchange market using a broad cross-section of 63 emerging and developed market currencies. He found strong evidence of significant currency momentum returns at 1 to 4 week investment horizons however further findings suggested that, contrary to the stock market evidence, the 52-week high momentum investment strategy failed to generate economically and statistically significant returns in the foreign exchange market. Mr Raza documented the profitability of various currency value strategies and showed that a composite strategy based on four different currency value measures can be very helpful in generating superior profits even after accounting for reasonable transaction costs. As the foreign exchange market is the biggest financial market of this world, Mr. Raza鈥檚 thesis has important implications for the players of this market.

Supervisors
Professor Ben Marshall
Professor Nuttawat Visaltanachoti