A comprehensive look at the efficacy of technical trading rules applied to cross-rates

C. I. Lee and I. Mathur

The European Journal of Finance, 1996, vol. 2, issue 4, 389-411

Abstract: Moving average (MA) and channel rules (CH) are applied to ten spot cross-rates - AUD/JPY,GBP/JPY,CAD/JPY,DEM/GBP,DEM/ITL,DEM/JPY,DEM/CHF,CHF/GBP, and CHF/JPY - to examine whether opportunities for profitable trading exist. The results suggest that neither trasding rule is profitable. Overall, the results are consistent with those reported in Lee and Mathur**and in sharp contrast with the evidence from studies on dollar-denominated exchange rates. The costs of direct currency exchange through cross-rates and through indirect dollar-related transactions are also estimated. The savings related to direct cross-rate currency exchanges are estimated to range from 0.004% to 0.22%.

Keywords: trading rules; currency cross-rates (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (9)

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DOI: 10.1080/13518479600000016

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