Title:

The profitability of Japanese yen carry trades

Group publication title:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

Creator:

Czech, Katarzyna

Subject and Keywords:

foreign exchange markets ; carry trade ; Japanese yen ; Sharpe ratio ; Calmar ratio ; rynek walutowy ; jen japoński ; wskaźnik Sharpe’a ; wskaźnik Calmara

Description:

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics, 2017, Nr 486, s. 245-253

Abstrakt:

The aim of the paper is to examine the profitability of Japanese yen carry trade strategies. It has been shown that for the sample of 11 years, annualized excess return of carry trade strategies are positive. Estimated average excess returns, Sharpe ratio and Calmar ratio turn out to reach the levels similar to those reported by other researchers. Moreover, the paper reports that estimated excess returns and Sharpe, Calmar ratios are high and positive during the period from 01.2006 to 07.2007 and negative during the time of high financial turbulence. Additionally, during the time of turbulence in financial markets, when carry trade performs poorly, low-yielding currencies tends to appreciate against high-yielding currencies. It implies that Japanese yen, as an example of the most popular funding currency, may provide a hedge during unstable times of high price volatility in financial market

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2017

Resource Type:

artykuł

Format:

application/pdf

Resource Identifier:

doi:10.15611/pn.2017.486.20

Language:

eng

Relation:

The Development Challenges of Asia-Pacific Countries ; Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu = Research Papers of Wrocław University of Economics; 2017; Nr 486

Rights:

Pewne prawa zastrzeżone na rzecz Autorów i Wydawcy

Access Rights:

Dla wszystkich zgodnie z licencją

License:

CC BY-NC-ND 3.0 PL

Location:

Uniwersytet Ekonomiczny we Wrocławiu