Economics at your fingertips  

Cross-market information spillover and the performance of technical trading in the foreign exchange market

Yung-Ho Chang ()
Additional contact information
Yung-Ho Chang: Tunghai University

Journal of Economics and Finance, 2019, vol. 43, issue 2, 211-227

Abstract: Abstract This study evaluates the effect of cross-market information spillover on the performance of popular variable-length moving averages (VMAs) for trading the daily exchange rates of New Taiwan Dollars to US Dollars (FXNTD/USD). Information incorporated in the Dow Jones Industrial Average (DJIA) and Taiwan Stock Index (TWSI) is introduced to study the effect. The results indicate that VMAs outperform the buy-and-hold strategy. Moreover, the information reflected in the DJIA and TWSI promotes the performance of VMAs. After correcting for data snooping bias, the DJIA is more informative than FXNTD/USD and the TWSI for VMAs.

Keywords: technical trading; cross-market information spillover; foreign exchange rates; Superior Predictive Ability (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/12197/PS2

Access Statistics for this article

Journal of Economics and Finance is currently edited by James Payne

More articles in Journal of Economics and Finance from Springer, Academy of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-11-06
Handle: RePEc:spr:jecfin:v:43:y:2019:i:2:d:10.1007_s12197-018-9440-3