Technical analysis profitability when exchange rates are pegged: A note
Authors: Maillet, Bertrand1; Michel, Thierry2
Source: The European Journal of Finance, Volume 11, Number 6, Number 6/December 2005 , pp. 463-470(8)
- Free Content
- New Content
- Subscribed Content
- Free Trial Content
Abstract:
This note extends earlier results which concluded that generally technical analysis trading rules were profitable when applied to several US dollar exchange rates. These results were linked to the presence of long swings in the dollar series, and here, it is tested whether they still hold in a different setting, with a quasi -fixed exchange rate system. Applying non-parametric and parametric tests to the main European currencies does not allow to confirm, in this case, the profitability of these rules. These results strengthen the likelihood of the hypothesis of a causal link from the exchange rate DGP to the profitability of technical analysis trading rules, as already highlighted in several articles.Keywords: International finance; technical analysis; performance; foreign exchange market; financial forecasting; efficient market hypothesis
Document Type: Research article
DOI: 10.1080/13518470210124614
Affiliations: 1: A. A. Advisors/QCG (ABN Amro Group), Variances, and TEAM/CNRS, University of Paris-1, Paris cedex, France 2: AMF, Variances and TEAM/CNRS, University of Paris-1, Paris cedex, France
- Free Content
- New Content
- Subscribed Content
- Free Trial Content
Click here for Page Help