The profitability of technical analysis in the Taiwan-U.S. forward foreign exchange market

Yun-Shan Dai () and Wei-Ming Lee ()
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Yun-Shan Dai: Graduate Institute of International Economics, National Chung Cheng University
Wei-Ming Lee: Department of Economics, National Chung Cheng University

Economics Bulletin, 2011, vol. 31, issue 2, 1606-1612

Abstract: Based on technical analysis and White's and Hansen's data-snooping-robust tests, we examine the efficiency of the Taiwan-U.S. forward foreign exchange market and find that, unlike the spot market, the forward market is inefficient even under a very high transaction cost, suggesting that the failure of forward rate unbiasedness documented in the literature may be due to forward market inefficiency.

Keywords: data snooping; forward exchange rate unbiasedness; market efficiency; profitability; reality check; technical analysis (search for similar items in EconPapers)
JEL-codes: F3 G1 (search for similar items in EconPapers)
Date: 2011-06-05
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