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Maiko Koga
 
''Momentum trading behavior in the FX market: Evidence from Japanese retail investors''
( 2016, Vol. 36 No.1 )
 
 
This article explores behaviors of emerging players in the foreign exchange markets, retail investors in Japan. We find that they are momentum traders, implying that their actions could have a destabilizing effect in the markets. We also present the fact that the portfolio formation is mainly driven by past returns from spot rate changes, not interest rate differentials. Examining asymmetries in their behaviors shows that momentum tradings are relatively stronger particularly for sells after the global financial crisis occurred.
 
 
Keywords: Foreign exchange markets, Momentum strategy, Portfolio, Retail investors
JEL: F3 - International Finance: General
G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
 
Manuscript Received : Jul 05 2015 Manuscript Accepted : Feb 04 2016

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