- مبلغ: ۸۶,۰۰۰ تومان
- مبلغ: ۹۱,۰۰۰ تومان
This paper investigates a calendar effect, namely the weekend overreaction, in spot foreign exchange markets of 8 major and 9 emerging currencies. We find that after a large price difference between Friday close and subsequent Monday open, most markets are likely to reverse in multiple horizons during the following week, which is consistent with the overreaction hypothesis. We develop a reversal trading strategy to exploit this effect which we show are robust to transaction costs and interest rates. In the out-of-sample test, the strategy is able to generate abnormal risk-adjusted returns, which suggests that these currency markets might be weak-form inefficient.
We find a calendar effect, namely the weekend overreaction, in spot FX rates of 7 major and 9 emerging currency pairs, evidenced by reversals in multiple horizons during the week after large weekend gaps. A contrarian strategy is designed to exploit this effect. In the out-of-sample trading test, the strategy is able to generate abnormal risk-adjusted returns after including transaction costs and interest rates, which suggests the possibility of weak-form inefficiency in these currency markets.