Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
การกระจายตัวของผลตอบแทนของสกุลเงิน และหุ้นในแต่ละประเทศ และทฤษฎีโมเมนตั้มในการหาผลตอบแทนในช่วงสถานการณ์ COVID-19
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Tanawit Sae-Sue
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.467
Abstract
This paper investigates the relation of momentum strategy and the return dispersion across currency and global equity markets by using 30 currency pairs and 30 global equity indices during last 2 decades. This paper also examines the lead-lag relationship of return dispersions through spillover from one market to another. In addition, we are successfully detected the relation between return dispersion of those market and the significant return by momentum strategy on currency market. However, we cannot detect significant positive return by using momentum strategy on global equity indices, so we cannot use the return dispersion from the lead market as an early indicator for the momentum strategy in the other market.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Grittiyarangsan, Pisit, "The cross-sectional return dispersion with momentum strategyand the spill over across FX and Equity markets, during COVID-19" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 10021.
https://digital.car.chula.ac.th/chulaetd/10021