Technical Analysis Profitability when Exchange Rates are Pegged: A Note
Bertrand Maillet and
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
This note extends earlier results which concluded that generally technical analysis trading rules were profitable when applied to several US dollar exchange rates. These results were linked to the presence of long swings in the dollar series, and here, it is tested whether they still hold in a different setting, with a quasi-fixed exchange rate system. Applying non-parametric and parametric tests to the main European currencies does not allow to confirm, in this case, the profitability of these rules. These results strengthen the likelihood of the hypothesis of a causal link from the exchange rate DGP to the profitability of technical analysis trading rules, as already highlighted in several articles.
Keywords: International finance; technical analysis; performance; foreign exchange market; financial forecasting; efficient market hypothesis (search for similar items in EconPapers)
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00308979
References: Add references at CitEc
Citations Track citations by RSS feed
Published in European Journal of Finance, Taylor & Francis (Routledge), 2005, 11 (6), pp.463-470. 〈10.1080/13518470210124614〉
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Technical analysis profitability when exchange rates are pegged: A note (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-00308979
Access Statistics for this paper
More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Series data maintained by CCSD ().