 Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical informationEhab Yamani The Quarterly Review of Economics and Finance, 2021, vol. 79, issue C, 74-89 Abstract: This paper examines whether the 2007 - 2008 global financial crisis (GFC) played any role in changing the state of efficiency for the foreign exchange markets. For comparison purposes, I assess market efficiency based on the forward unbiasedness hypothesis (FUH) as well as the profitability of simple technical trading rules in the form of moving average, momentum, and relative strength index. A general finding from my comparative analysis (the FUH vis-à-vis technical trading rules) reveals that the GFC causes a time variation in the performance of currency markets, but both tests predict opposite conclusions on the direction of the change in the state of market performance. This evidence emphasizes the importance of qualifying the difference between fundamental and technical information when investigating the efficiency of foreign exchange markets. Keywords: Exchange rates; Efficient market hypothesis; Forward unbiasedness hypothesis; Technical trading (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89 DOI: 10.1016/j.qref.2020.05.009 Access Statistics for this article The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty More articles in The Quarterly Review of Economics and Finance from Elsevier |
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