Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7364048 | Journal of International Economics | 2016 | 59 Pages |
Abstract
We carry out a large-scale investigation of technical trading rules in the foreign exchange market, using daily data over 45Â 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 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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Po-Hsuan Hsu, Mark P. Taylor, Zigan Wang,