 Profitability of technical trading rules in the Chinese yuan-based foreign exchange marketShenyi Song, O-Chia Chuang and Hsuan Fu Pacific-Basin Finance Journal, 2025, vol. 92, issue C Abstract: This study provides a comprehensive analysis of technical trading rules in the Chinese yuan-based foreign exchange market. Utilizing daily data spanning seven years for 14 developed and 10 emerging market currencies, we examine a universe of 41,660 trading rules, significantly expanding the scope of previous research. To address data-snooping bias, we employ the Step-SPA(k) tests, revealing excess profitability in at least half of the developed and emerging currencies, indicating heterogeneous market efficiency across currencies. To ensure the robustness of our findings, we conducted a series of checks, including the Step-SPA test for conservative data-snooping bias control, break-even transaction cost analysis to evaluate profitability under trading costs, out-of-sample performance evaluation to assess generalizability, and an examination of bank intervention effects to account for potential market distortions. Keywords: Chinese foreign exchange; Technical analysis; Trading rules; Data-snooping bias; Emerging country (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:pacfin:v:92:y:2025:i:c:s0927538x25001416 DOI: 10.1016/j.pacfin.2025.102804 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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