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Return seasonality in the foreign exchange market

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  • Yiuman Tse

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.

Suggested Citation

  • Yiuman Tse, 2018. "Return seasonality in the foreign exchange market," Applied Economics Letters, Taylor & Francis Journals, vol. 25(1), pages 5-8, January.
    • Handle: RePEc:taf:apeclt:v:25:y:2018:i:1:p:5-8
    DOI: 10.1080/13504851.2017.1290766
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    Cited by:

    1. Shanaev, Savva & Ghimire, Binam, 2022. "A generalised seasonality test and applications for cryptocurrency and stock market seasonality," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 172-185.

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