A simple test of momentum in foreign exchange markets

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Borradores de Economía; No. 647
Date published
2011-03-20
Date of last update
2011-03-20
Author
García-Suaza, Andrés Felipe
Gómez-González, José Eduardo
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
This study proposes a new method for testing for the presence of momentum in nominal exchange rates, using a probabilistic approach. We illustrate our methodology estimating a binary response model using information on local currency / US dollar exchange
JEL Codes
G15 - International Financial MarketsG14 - Information and Market Efficiency; Event Studies; Insider TradingC41 - Duration Analysis; Optimal Timing Strategies
Keywords
Momentum ; Foreign exchange markets ; Hazard duration analysis ; Emerging economies ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5664
https://hdl.handle.net/20.500.12134/5664
https://doi.org/10.32468/be.647
https://ideas.repec.org/p/bdr/borrec/647.html
https://ideas.repec.org/p/col/000094/008230.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit