The risk-adjusted trading rule profits in currency spot cross-rates
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/10.1080/17446540600771084

引用次数
Scopushttp://aims.cuhk.edu.hk/converis/portal/Publication/0Scopus source URL

其它资讯

摘要This article studies the profitability of the Moving Average (MA) trading rule in the cross-rate market. We show that the MA rules are profitable if the two currencies belong to different economic zones. In addition, our study demonstrates that the interest rate differential has little effect on the trading rule returns.

着者Chong T.T.-L., Shik T.C.-S.
期刊名称Applied Financial Economics Letters
出版年份2http://aims.cuhk.edu.hk/converis/portal/Publication/0http://aims.cuhk.edu.hk/converis/portal/Publication/07
月份3
日期1
卷号3
期次2
出版社Routledge
出版地United Kingdom
页次71 - 76
国际标準期刊号1744-6546
语言英式英语