This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...

This paper opens up the scope of risk diversification for investors active in Indian currency derivative market. It employs a DCC GARCH model to derive dynamic co variances and dynamic conditional correlations in currency-equity linkage (proxy as currency futures - Index Nifty futures) and...