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Cited by 309

The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.

Do Momentum-Based Strategies Still Work in Foreign Currency Markets?

Okunev, John, White, Derek·2003·The Journal of Financial and Quantitative Analysis
DOI 10.2307/4126758
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Abstract

This paper examines the performance of momentum trading strategies in foreign exchange markets. We find the well-documented profitability of momentum strategies during the 1970s and the 1980s has continued throughout the 1990s. Our approach and findings are insensitive to the specification of the trading rule and the base currency for analysis. Finally, we show that the performance is not due to a time-varying risk premium but rather depends on the underlying autocorrelation structure of the currency returns. In sum, the results lend further support to prior momentum studies on equities. The profitability to momentum-based strategies holds for currencies as well.

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Metadata

Authors
Okunev, J., & White, D.
Venue
The Journal of Financial and Quantitative Analysis
Publisher
JSTOR
Published
2003-06
Volume
38
Issue
2
Pages
425
ISSN
0022-1090 (ISSN-L)
DOI
10.2307/4126758
OpenAlex
W3124110242
Cited by
309
References
3
FWCI
8.28
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Do Momentum-Based Strategies Still Work in Foreign Currency Markets? https://app.cochat.ai/papers/10.2307/4126758
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Okunev, J., & White, D. (2003). Do Momentum-Based Strategies Still Work in Foreign Currency Markets? The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/4126758

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.