The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

Gerben de Zwart, Thijs Markwat, Laurens Swinkels and Dick van Dijk

ERIM Report Series Research in Management from Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam

Abstract: We measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and explicitly accounts for trading restrictions on foreign capital movements by using non-deliverable forward data. We document that both types of information can be exploited to implement profitable trading strategies. In line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis, we find that combining the two types of information improves the risk-adjusted performance of the investment strategies.

Keywords: emerging markets; foreign exchange rates; heterogeneous agents; structural exchange rate models; technical trading (search for similar items in EconPapers)
JEL-codes: E43 G3 M (search for similar items in EconPapers)
Date: 2007-12-21
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Citations: View citations in EconPapers (6)

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Journal Article: The economic value of fundamental and technical information in emerging currency markets (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ems:eureri:10891

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