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Article: Technical analysis: Is it still beating the foreign exchange market?

TitleTechnical analysis: Is it still beating the foreign exchange market?
Authors
Issue Date2016
Citation
Journal of International Economics, 2016, v. 102, p. 188–208 How to Cite?
AbstractWe carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45 years for 30 developed and emerging market currencies. Employing a stepwise test to counter data-snooping bias and examining over 21,000 technical rules, we find evidence of substantial predictability and excess profitability in both developed and emerging currencies, measured against a variety of performance metrics. We cross-validate our results using out-of-sample analysis. We find time-series and cross-sectional variation in sub-periods and cultural and/or geographic groups, respectively, suggesting that temporarily not-fully-rational behavior and market immaturity generate technical predictability and potential excess profitability.
Persistent Identifierhttp://hdl.handle.net/10722/234858

 

DC FieldValueLanguage
dc.contributor.authorWang, Z-
dc.contributor.authorTaylor, M-
dc.date.accessioned2016-10-14T13:49:42Z-
dc.date.available2016-10-14T13:49:42Z-
dc.date.issued2016-
dc.identifier.citationJournal of International Economics, 2016, v. 102, p. 188–208-
dc.identifier.urihttp://hdl.handle.net/10722/234858-
dc.description.abstractWe carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45 years for 30 developed and emerging market currencies. Employing a stepwise test to counter data-snooping bias and examining over 21,000 technical rules, we find evidence of substantial predictability and excess profitability in both developed and emerging currencies, measured against a variety of performance metrics. We cross-validate our results using out-of-sample analysis. We find time-series and cross-sectional variation in sub-periods and cultural and/or geographic groups, respectively, suggesting that temporarily not-fully-rational behavior and market immaturity generate technical predictability and potential excess profitability.-
dc.languageeng-
dc.relation.ispartofJournal of International Economics-
dc.titleTechnical analysis: Is it still beating the foreign exchange market?-
dc.typeArticle-
dc.identifier.emailWang, Z: wangzg@hku.hk-
dc.identifier.authorityWang, Z=rp02039-
dc.identifier.hkuros270281-
dc.identifier.volume102-
dc.identifier.spage188–208-
dc.identifier.epage188–208-

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