Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market

Alexandru Todea () and Adrian Zoicas Ienciu ()
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Adrian Zoicas Ienciu: Faculty of Economics and Business Administration, Babes-Bolyai University

Journal for Economic Forecasting, 2011, issue 1, 175-192

Abstract: Romanian currency market considering the episodic character of linear and/or nonlinear dependencies, between 1999 and 2008. The main conclusion is that profitability of moving average strategies is not constant over time and that is mainly due to linear and nonlinear episodic dependencies. The trading rule profits did not declined over time in the case of the Romanian currency market. Exploring the causes of profitability, it was found that it was closely related to the intensity of manifestation of episodic linear and nonlinear dependencies, the state of the market, and it was not the result of a time varying risk premium. The empirical results are consistent with the Adaptive Markets Hypothesis (Lo, 2004), but not with the Efficient Market Hypothesis.

Keywords: technical analysis; exchange rate; random walk; episodic dependencies; bicorrelation test (search for similar items in EconPapers)
JEL-codes: C15 G11 G14 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:rjr:romjef:v::y:2011:i:1:p:175-192

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