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Currency portfolio behavior in seven major Asian markets

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  • Chang, Hao-Wen
  • Lin, Chinho

Abstract

This study explores the returns and volatility patterns of currency portfolios (CP) in seven major Asian markets during noncrisis and crisis periods. The CP is developed by investing or divesting in the top three forward premiums or discount currencies in these markets and is rebalanced quarterly. The main findings are as follow: (1) Stochastic volatility models perform better than generalized autoregressive conditional heteroskedasticity models. (2) Spillover effects from the stock market on CP are observed for the examined periods. (3) The stochastic dominance analysis revealed that CP outperformed most stock markets.

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  • Chang, Hao-Wen & Lin, Chinho, 2023. "Currency portfolio behavior in seven major Asian markets," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 540-559.
    • Handle: RePEc:eee:ecanpo:v:79:y:2023:i:c:p:540-559
    DOI: 10.1016/j.eap.2023.06.027
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    More about this item

    Keywords

    Currency portfolio; Volatility models; Spillover effects; Stochastic dominance;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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