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The Profitability of Carry Trade: Evidence for Five CIS Countries |
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| รหัสดีโอไอ | |
| Creator | Razzaque H Bhatti |
| Title | The Profitability of Carry Trade: Evidence for Five CIS Countries |
| Publisher | Asian Forum on Business Education (AFBE) |
| Publication Year | 2555 |
| Journal Title | AFBE Journal |
| Journal Vol. | 5 |
| Journal No. | 2 |
| Page no. | 179 |
| Keyword | Uncovered interest parity,exchange rate and open economy |
| ISSN | 2071-7873 |
| Abstract | This paper explores whether carry trade operations in the five CIS currencies Armenian drams, Azerbaijani manat, Kazak tenge, Kyrgyz soms and Moldovan lei were profitable over the period 1996:01-2010:02. The results show that carry trades in the five CIS currencies funded by short positions in the Japanese yen and Swiss franc outperform the two major stock marketsthe Japanese Nikkei 225 and Swiss market indices. The annualized quarterly returns in carry trades range between 1.5% and 14.01%, whereas those on the Swiss market and Japanese Nikkei 225 market indices are 5.79% and -3.4%. The results show that the average annualized interest differential are the highest for the Kyrgyz soms and Armenian drams and the lowest for the Kazakh tenge and Azerbaijani manat when carry trades in these currencies are funded with short positions in both the Japanese yen and Swiss franc. However, the quarterly annualized mean return in carry trades is the highest in the case of Armenian drams and the lowest in the case of the Kazakh tenge. These findings are also strongly supported by the Sharpe ratios, which are 0.44 and 0.48 for the former currency pairs and only 0.04 and 0.05 for the latter pairs, implying that the risk-adjusted return in carry trade is the highest for the Armenian drams. |
