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Weak-form efficiency in currency markets
Many past studies have found that currencies trend, so technical trading rules produced statistically and economically significant profits. In other words, foreign exchange markets were weak-form inefficient. The study reported here reexamined this phenomenon with use of a new database of currency futures for 1975-2006 that includes old and newly liquid currencies. The findings from the recent data are contradictory. The profitability of trend following eroded for major currencies and their associated cross exchange rates around the mid-1990s. Newly liquid currencies after 2000 do trend, however, just as major currencies did in earlier years. The evidence is consistent with early weak-form inefficiency followed by vanishing trends as traders learn and adapt their strategies..Printed journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6403 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Virginia: CFA Institute 2008 |
|---|---|
| Edisi | Vol. 64, No. 3, May - Jun., 2008 |
| Subjek | Profitability Investment policy Foreign exchange rates Foreign exchange markets Foreign exchange futures studies Manycountries |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 22 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |