Time-varying risk premia, volatility, and technical trading rule profits: Evidence from foreign currency futures markets

• 成果类型: Article
• 署名作者: Kho, BC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00861-8
• 发表日期: 1996
• 页码: 249-290
• 关键词: technical analysis; Time-varying risk premium; CAPM; GARCH-M model

摘要

This paper re-examines the efficiency of foreign currency futures markets by evaluating the role of time-varying risk premia and volatility in explaining technical trading rule profits. The results show that large parts of the technical rule profits can be explained by the time-varying risk premia estimated from a general model for the conditional CAPM; The bootstrap distributions for the profits under the null model average one-third to one-half of the actual profits and enclose the actual profits well within the 90% confidence intervals. Time-varying conditional volatility explains an additional 10% of the profits.