Please use this identifier to cite or link to this item: https://cuir.car.chula.ac.th/handle/123456789/84618
Title: The cross-sectional return dispersion with momentum strategyand the spill over across FX and Equity markets, during COVID-19
Other Titles: การกระจายตัวของผลตอบแทนของสกุลเงิน และหุ้นในแต่ละประเทศ และทฤษฎีโมเมนตั้มในการหาผลตอบแทนในช่วงสถานการณ์ COVID-19
Authors: Pisit Grittiyarangsan
Advisors: Tanawit Sae-Sue
Other author: Chulalongkorn University. Faculty of commerce and accountancy
Issue Date: 2021
Publisher: Chulalongkorn University
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.
Description: Independent Study (M.Sc.)--Chulalongkorn University, 2021
Degree Name: Master of Science
Degree Level: Master's Degree
Degree Discipline: Finance
URI: https://cuir.car.chula.ac.th/handle/123456789/84618
Type: Independent Study
Appears in Collections:Acctn - Independent Studies

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