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Conference Paper: Technical Trading: Is it still Beating the Foreign Exchange Market?

TitleTechnical Trading: Is it still Beating the Foreign Exchange Market?
Authors
Hsu, PTaylor, MPWang, Z
KeywordsForeign exchange
Technical analysis
Trading rules
Data-snooping bias
Issue Date2016
PublisherChinese Association of Finance.
Citation
China International Conference in Finance (CICF), Xiamen, China, July 7-10, 2016. In China International Conference in Finance: 2016 program, 14th Annual Conference, Xiamen, China, July 7-10, 2016, p. 30-30 How to Cite?
AbstractWe carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45years 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 subperiods 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/10722/316814

 

DC FieldValueLanguage
dc.contributor.authorHsu, P-
dc.contributor.authorTaylor, MP-
dc.contributor.authorWang, Z-
dc.date.accessioned2022-09-16T07:23:50Z-
dc.date.available2022-09-16T07:23:50Z-
dc.date.issued2016-
dc.identifier.citationChina International Conference in Finance (CICF), Xiamen, China, July 7-10, 2016. In China International Conference in Finance: 2016 program, 14th Annual Conference, Xiamen, China, July 7-10, 2016, p. 30-30-
dc.identifier.urihttp://hdl.handle.net/10722/316814-
dc.description.abstractWe carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45years 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 subperiods 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.publisherChinese Association of Finance.-
dc.relation.ispartofChina International Conference in Finance: 2016 program, 14th Annual Conference, Xiamen, China, July 7-10, 2016-
dc.subjectForeign exchange-
dc.subjectTechnical analysis-
dc.subjectTrading rules-
dc.subjectData-snooping bias-
dc.titleTechnical Trading: Is it still Beating the Foreign Exchange Market?-
dc.typeConference_Paper-
dc.identifier.emailWang, Z: wangzg@hku.hk-
dc.identifier.authorityHsu, P=rp01553-
dc.identifier.authorityWang, Z=rp02039-
dc.identifier.hkuros336487-
dc.identifier.spage30-
dc.identifier.epage30-
dc.publisher.placeChina-

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