Technical trading: Is it still beating the foreign exchange market?

• 成果类型: Article
• 署名作者: Hsu, Po-Hsuan; Taylor, Mark P.; Wang, Zigan
• 署名单位: University of Hong Kong; University of Warwick
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2016.03.012
• 发表日期: 2016
• 页码: 188-208
• 关键词: foreign exchange; Technical analysis; Trading rules; Data-snooping bias

摘要

We 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 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. (C) 2016 Elsevier B.V. All rights reserved.