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Technical Analysis Profitability when Exchange Rates are Pegged: A Note

Bertrand Maillet and Thierry Michel

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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 (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00308979
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Published in European Journal of Finance, Taylor & Francis (Routledge), 2005, 11 (6), pp.463-470. <10.1080/13518470210124614>

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