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... next investigate the behavior of returns around days when intervention took place. Table 8 presents the raw exchange rate returns-returns to a long position in the foreign currency-conditional on intervention at date t. Recall that our exchange rate data are collected at midday New York time, so that the return at t -1 is the return to a long position in the foreign currency from midday on the day before intervention to midday on the day of intervention. ...Context 2
... we consider the in-sample results for the DEM (top-left panel of Table 9) we see that the majority of trading rules have picked up on the trend associated with intervention. Thus on 88 per cent of occasions the rule signals a long position at t -1, when the annualized daily raw return was 76 per cent (see Table 8). 16 It is also clear that the rule has detected the profitability of trading on the opposite side of the market from the Fed at t, since in every instance when the Fed bought dollars, the rule took a long position and vice versa. ...Context 3
... four panels display median rule returns and their monthly standard deviations conditional on intervention for each of the four exchange rates moving left to right. The top panel displays results from 1976-1980-rather than 1975-1980 as in Table 8-because 1975 was used as a data window for lags in constructing the trading rules. The rules were obtained from training and selection periods 1975-1980. ...Similar publications
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Citations
Using a testable Slutsky equation derived from a formal utility maximization model of portfolio choice under uncertainty, we examine whether the momentum component in daily returns is induced by the interaction of the intertemporal risk-return tradeoff and investor tendency to correct prior mispricing. We find that a substantial portion of short-horizon momentum is generated by the asymmetric intertemporal risk-return tradeoff that the positive risk-return relation is strengthened conditional on a prior negative market return but is attenuated conditional on a prior positive market return. With the observation of a highly positive correlation between the trading signals and price change dummies, we further explore the link between technical trading profits and the two pricing factors. Our empirical results provide strong evidence that the profits associated with technical strategies come from exploiting the same momentum component induced by the interaction of the risk-return relation and investor adjustment behavior. We conclude that technical trading profits are the result of rational pricing factors and therefore not evidence of market inefficiency.
The efficiency of foreign exchange markets has received extensive attention in the literature in recent years, especially with regard to technical trading. We extend the existing evidence on this topic by applying the moving average (MA) and channel (CH) trading rules to 13 Latin currencies to see if opportunities for profitable trading exist. Our results show that although not all of the Latin American currencies can be exploited through the use of trading rules that we use, there are some that appear amenable to our technical analysis. Specifically, the results suggest that MA trading rules are profitable for four currencies, namely the Brazilian real, the Mexican peso, the Peruvian new sol, and the Venezuelan bolivar. We further find that CH rules are profitable for the Brazilian real, the Mexican peso, and the Venezuelan bolivar. Our results suggest that due to differences in the statistical properties of exchange rates, some trading rules may be more suitable for certain types of currencies.
