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A currency preferential approach to international equity investment.

Authors :
Qiu, Mei
Pinfold, John F.
Rose, Lawrence C.
Source :
Applied Economics; 2015, Vol. 47 Issue 49, p5247-5261, 15p, 6 Charts, 1 Graph
Publication Year :
2015

Abstract

We propose aTimexstrategy for reducing the foreign exchange risk associated with international equity investment, pertaining to countries with currencies correctly or undervalued by the standard of PPP. The performance ofTimexis examined from the perspectives of eight developed nations with long histories of free-floating currencies. Based on the data from 1986:Q1 to 2014:Q4, we find unambiguous evidence for the superior performance ofTimexin the foreign exchange market. Compared with the passive diversification strategy and the Morgan Stanley Capital International (MSCI) World index,Timexoffers higher total returns and risk-adjusted total returns when rebalanced every 6 or 12 months for investors based in all eight countries under study. When rebalanced at a 3-year interval,Timexoutperforms the passive diversification and the MSCI World index for five and all eight countries, respectively. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
00036846
Volume :
47
Issue :
49
Database :
Complementary Index
Journal :
Applied Economics
Publication Type :
Academic Journal
Accession number :
108580181
Full Text :
https://doi.org/10.1080/00036846.2015.1044651