Weak-Form Efficiency in Currency Markets
Many past studies have found that currencies trend, so technical trading rules produced statistically and economically significant profits. In other words, foreign exchange markets were weak-form inefficient. The study reported here reexamined this phenomenon with use of a new database of currency f...
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| Veröffentlicht in: | Financial analysts journal 2008-05, Vol.64 (3), p.31-52 |
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| container_title | Financial analysts journal |
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| creator | Pukthuanthong-Le, Kuntara Thomas, Lee R. |
| description | Many past studies have found that currencies trend, so technical trading rules produced statistically and economically significant profits. In other words, foreign exchange markets were weak-form inefficient. The study reported here reexamined this phenomenon with use of a new database of currency futures for 1975-2006 that includes old and newly liquid currencies. The findings from the recent data are contradictory. The profitability of trend following eroded for major currencies and their associated cross exchange rates around the mid-1990s. Newly liquid currencies after 2000 do trend, however, just as major currencies did in earlier years. The evidence is consistent with early weak-form inefficiency followed by vanishing trends as traders learn and adapt their strategies. |
| doi_str_mv | 10.2469/faj.v64.n3.5 |
| format | Article |
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In other words, foreign exchange markets were weak-form inefficient. The study reported here reexamined this phenomenon with use of a new database of currency futures for 1975-2006 that includes old and newly liquid currencies. The findings from the recent data are contradictory. The profitability of trend following eroded for major currencies and their associated cross exchange rates around the mid-1990s. Newly liquid currencies after 2000 do trend, however, just as major currencies did in earlier years. 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| ispartof | Financial analysts journal, 2008-05, Vol.64 (3), p.31-52 |
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| source | Jstor Complete Legacy; Business Source Complete |
| subjects | Alternative Investments American dollar Currency Currency market Efficient markets Financial engineering Foreign exchange Foreign exchange futures Foreign exchange markets Foreign exchange rates Futures Hypotheses Investment policy Liquidity Manycountries Market efficiency Profitability Profits Statistical significance Studies Trade volume Trends |
| title | Weak-Form Efficiency in Currency Markets |
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