The Optimal Choice of Currency DenominationUnder Global Momentum and Contrarian Strategies

• Main Authors: Yu-Ling Liou, 劉玉羚
• Other Authors: Chen-Jui Huang
• Format: Others
• Language: en_US
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/34096401316493505535

碩士 === 東海大學 === 財務金融學系 === 95 === This empirical study is intended as investigation into the gains from global momentum and contrarian strategies for Taiwan’s investors with data comprised of ten country-specific exchange-traded funds (ETFs), and the possibility of an optimal choice in terms of currency denomination. Our empirical results reveal that (1) contrarian-based returns are significant at all covered periods; (2) forming country-specific ETF momentum and contrarian portfolios based on past returns measured in TWD returns rather than in foreign currency returns would be a better approach from the perspective of Taiwanese; (3) despite that the number of euro- denominated ETFs is lower than the number of dollar-denominated ETFs in our pre-selected sample, euro-denominated ETFs still have the highest frequency of being chosen in our portfolios, suggesting hence a potentially diversifying role for the euro in the global ETF market.