A comparison of MA and RSI returns with exchange rate intervention
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)

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数位物件识别号 (DOI) ○○@http://aims.cuhk.edu.hk/converis/portal/Publication/2$@○○

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Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL

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摘要This study compares the efficacy of the Relative Strength Index (RSI) vis-a-vis the Moving Average (MA) trading rules on the daily exchange rates of six currencies. The results indicate that the trading rules can yield positive risk- adjusted returns, and the profitability of these trading rules is positively related to central bank interventions. It is also found that the impact of interest rate differentials on the trading rule return is immaterial.

着者Shik TC, Chong TTL
期刊名称APPLIED ECONOMICS LETTERS
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2007
月份1
日期1
卷号14
期次5
出版社ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
页次371 - 383
国际标準期刊号1350-4851
电子国际标準期刊号1466-4http://aims.cuhk.edu.hk/converis/portal/Publication/291
语言英式英语

Web of Science 学科类别Business & Economics; Economics; ECONOMICS