Publication in refereed journal
香港中文大学研究人员 ( 现职)
| 庄太量教授 (经济学系) |
全文
| 数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.pacfin.2008.11.002 |
引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/7WOS source URL
其它资讯
摘要Existing studies on the profitability of trading rules in the currency market focus mainly on the currencies of developed countries. The profitability of technical trading rules on the currencies of emerging economies is surprisingly understudied. This paper evaluates the profitability of technical trading rules in emerging currency markets. Similar to Okunev and White [Okunev, J. and White, D., (2003) "Do Momentum-based Strategies Still Work in Foreign Currency Markets?" journal of Financial and Quantitative Analysis 38,425-44http://aims.cuhk.edu.hk/converis/portal/Publication/7.], 354 long/short moving average rules for six currencies are investigated. It is found that investing in emerging currencies can generate a considerable annual return of over 20%, even after a 5% annual transaction cost is imposed. The trading-rule profits are relatively stable across the 20 year sample period. Furthermore, the impact of financial crises on the trading-rule returns is also examined. It is found that the profitability of the trading rules is improved after the crises. (C) 2008 Elsevier B.V. All rights reserved.
着者Chong TTL, Ip HTS
期刊名称Pacific-Basin Finance Journal
出版年份2009
月份9
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/7
期次4
出版社Elsevier
页次4http://aims.cuhk.edu.hk/converis/portal/Publication/79 - 493
国际标準期刊号092http://aims.cuhk.edu.hk/converis/portal/Publication/7-538X
电子国际标準期刊号18http://aims.cuhk.edu.hk/converis/portal/Publication/79-0585
语言英式英语
关键词Emerging currencies; Information ratio; Trading rules
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE
