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- Title
Cross-market information spillover and the performance of technical trading in the foreign exchange market.
- Authors
Chang, Yung-Ho
- Abstract
This study evaluates the effect of cross-market information spillover on the performance of popular variable-length moving averages (VMAs) for trading the daily exchange rates of New Taiwan Dollars to US Dollars (FXNTD/USD). Information incorporated in the Dow Jones Industrial Average (DJIA) and Taiwan Stock Index (TWSI) is introduced to study the effect. The results indicate that VMAs outperform the buy-and-hold strategy. Moreover, the information reflected in the DJIA and TWSI promotes the performance of VMAs. After correcting for data snooping bias, the DJIA is more informative than FXNTD/USD and the TWSI for VMAs.
- Subjects
EXTERNALITIES; INFORMATION theory in economics; FOREIGN exchange market; VARIABLE-length codes; FINANCIAL performance
- Publication
Journal of Economics & Finance, 2019, Vol 43, Issue 2, p211
- ISSN
1055-0925
- Publication type
Article
- DOI
10.1007/s12197-018-9440-3