Work

The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach

Year: 1993

Type: article

Abstract: In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976–1990, and we implement a new testing procedure based on bootstrap methodology. Our results suggest that simple technical trading rules have very often led to profits that are highly unusual. Splitting the entire sample period into three 5-year periods reveals that on average the profitability of some trading rules declined in the latest period although profits remained positive (on average) and significant in many cases. (JEL F31, F47, G15).

Source: Journal of International Money and Finance

DOI: 10.1016/0261-5606(93)90034-9

Authors: Richard M. Levich, Lee R. Thomas

Institutions: National Bureau of Economic Research, New York University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,130

OpenAlex ID: W2890714735

FWCI: 19.76

Cites: 16

Cited by: 472

Related to: 10