Search

This study examines whether terrorist attacks affect bilateral exchange rates. Using historical 10-minute exchange rate data for 21 countries' currency vis-à-vis the U.S. dollar, we show that exchange rate returns of all countries are statistically significantly affected by terrorist attacks. Some exchange rates appreciate and some depreciate following a terrorist attack, some currencies experience exchange rate reversals while others experience a persistent effect. Generally, the effect declines but persists as terrorist attacks become stale information. ( JEL F31, F37) [ABSTRACT FROM AUTHOR]

This article examines whether momentum-based trading strategies work in the commodity futures markets. Using a wide range of moving average trading rules, commodities are ranked from best- to worst-performing. Then investors are allowed to take long positions in best-performing commodities and a short position in the least attractive commodity. Findings suggest that investors can earn statistically significant profits from the commodity futures markets. Moreover, it is found that short-selling improves commodity profits and profits are both data frequency and sub-sample dependent. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:868-891, 2015 [ABSTRACT FROM AUTHOR]