The main objective of this paper is to investigate the diversification role of currency momentum for carry trade crashes during the turbulent periods surrounding the 1997-1998 Asian financial crisis and the 2007-2008 global financial crisis. The motivation is to use an important tendency of...

I examine the profitability of three simple foreign exchange technical trading rules (moving average, momentum, and relative strength index) before, during and after the 2007-2008 global financial crisis. The overall findings reveal that these technical indicators could produce statistically...

This paper examines whether liquidity or credit quality (probability of default) “contributes” more to the explanation of currency excess returns, using two baskets of bilateral exchange rates – developed and emerging countries. My central finding is that U.S. investors generally care only...