Dissertation > Excellent graduate degree dissertation topics show

The Research on the Application of Momentum Strategies in China’s Foreign Exchange Market

Author: ZhaoTianLin
Tutor: DuJia
School: Beijing Jiaotong University
Course: Finance
Keywords: momentum strategies foreign exchange market behavioral finance exchange control transaction cost
CLC: F832.6
Type: Master's thesis
Year: 2014
Downloads: 20
Quote: 0
Read: Download Dissertation


Momentum strategy is a typical phenomenon in behavioral finance, often used to study the stock market. But the research on the exchange market has just started. This paper use theoretical analysis and empirical analysis to research on the application of momentum strategies in China’s foreign exchange market. In empirical analysis, this paper first put interest rate differential into the formula of excess returns, which defines the scope of excess returns more comprehensively. Furthermore, this paper quantifies the impact on momentum returns of transaction cost, complements the lack of empirical analysis in earlier studies. Theoretical analysis believes that our exchange market is not fully effective and the investors can obtain excess returns through investment strategies. Empirical results confirm the conclusion of theoretical analysis. The results shows that in all64kinds of momentum strategies, without considering transaction cost,46kinds of momentum strategies can obtain excess returns and the best momentum strategy should have a "maturity mismatch" of formation period and holding period. Considering transaction cost all the momentum strategies can’t obtain excess returns and there is a huge difference of excess returns between considering and not considering transaction cost. The empirical result shows that transaction cost has a significant influence on momentum returns, if transaction cost can be controlled at a very small level, momentum strategies can be applicable in our exchange market. Transaction cost is controlled by bank and generated by the lack of competition in China’s foreign exchange banks. Therefore, it’s necessary to promote competition of foreign exchange banks. In addition to this, we should loosen exchange control gradually, making foreign exchange market playing its role sufficiently.

Related Dissertations

  1. Study of Human Resource Management Outsourcing,G647
  2. Empirical Research on Momentum Effect and Reversal Effect in China Stock Market,F224
  3. A Study on How Managerial Overconfidence Impact Capital Structure in the Medium and Small Listing Companies,F276.6;F224
  4. Research on Rural Land Circulation Intermediate Organization Based on Dynamic Game Theory,F321.1
  5. A Research on the Performance of Reversal Effect of A Shares in Shanghai Stock Market,F224
  6. Management Accounting Essence Research Based on the Transaction Cost Economics,F234.3
  7. Predicting Short-term Foreign Exchange Based on Wavelet Neural Network,F224
  8. Empirical Study of the Effect of Irrational Factors on the Investment Decision of Chinese Listed Companies,F832.51;F224
  9. Behavioral Statisitical Arbitrage on Chinese Stock Market,F224
  10. Investor Confidence and Security Market Performance,F224
  11. The Analysis of Transaction Costs on Momentum Effects,F224
  12. The "Guanxi" Type’s Influence on Organizational Coordination in Family Firms,F276.5
  13. Research on Simulation Experiment of Continuous Double Auction Financial Market Based on Multi-Agent Model,F713.35
  14. Multinomial Option Pricing Model Based on Behavioral Finance,F830.9
  15. Investor sentiment and stock market gains Empirical Study,F832.51;F224
  16. Investor sentiment on corporate investment behavior research,F276.6
  17. A share of the financial sector 's share price effects of lifting the ban,F832.51
  18. Research on the Efficiency of China’s Foreign Exchange Market Since the Reform of RMB Exchange Rate System in 2005,F224
  19. The Behavioral Financial Study of Global Gold Market’s Anomalies,F224
  20. The Empirical Analysis of the ’Dogs of the Dow’ Strategy,F224
  21. Research on the Reform of Logistics Industry to Implement VAT,F812.42

CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Exchange rate,foreign financial relations
© 2012 www.DissertationTopic.Net  Mobile