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Article
Return Seasonality in the Foreign Exchange Market
Applied Economics Letters
(2018)
Abstract
I examine return seasonality in the foreign exchange market using currency futures during the period 1973−2015. All the G10 currency futures yield negative returns in January and this effect happens more often in the countries that have a tax year ending in December. In contrast, returns offered in April are positive. To exploit these anomalies, I use a seasonality strategy that selects portfolios based on their historical same-calendar-month returns. I find that this strategy does not work in the currency market, although I find consistent results with Keloharju et al. in the stock portfolios.
Publication Date
January 2, 2018
DOI
10.1080/13504851.2017.1290766
Citation Information
Yiuman Tse. "Return Seasonality in the Foreign Exchange Market" Applied Economics Letters Vol. 25 Iss. 1 (2018) p. 5 - 8 Available at: http://works.bepress.com/yiuman-tse/7/