We use data set of five Asian countries to estimate the frequency and quantile based relationship between stock price index and exchange rate. We apply simple correlation and wavelet based correlation and in accordance with the portfolio balance effect, we find that the two variables are...

In this paper, we examine the possibility of price momentum strategy and the profitability thereof in the Indian equity market, which is one of the most promising emerging markets. We also analyze the magnitude of contribution made by losers' and winners' portfolios to momentum profit in the...

In recent days price momentum has gained considerable attention among the financial market researchers, as it deals with simple trading strategies offering abnormal returns based on historical market informations. However there is scarcity of works in this line of research in emerging markets....

This study examines the profitability of volume-based price momentum strategies for equities included in BSE-100 index from 2004 to 2012. It is an attempt to investigate whether there exist any relationship between momentum profits and historical trading volume in the immediate horizon. To...