|Title:||Further evidence on technical trade profitability and foreign exchange intervention||Authors:||Sosvilla Rivero,Simón Javier
Andrada Félix, Julián
Fernández Rodríguez, Fernando
|UNESCO Clasification:||5302 Econometría||Keywords:||Bolsa de valores
|Issue Date:||2002||Publisher:||1350-4851||Journal:||Applied Economics Letters||Abstract:||New evidence is presented on the positive correlation between returns from technical trading rules and periods of central bank intervention. To that end, the profitability of a trading strategy based on nearest-neighbour (nonlinear) predictors is evaluated, which may be viewed as a generalization of graphical methods widely used in financial markets. Daily data on the US dollar/Deutschmark and US dollar/Japanese Yen covering the 1 February 1982-31 December 1996 period are used. The results suggest that the exclusion of days of US intervention implies a substantial reduction in all profitability indicators (net returns, ideal profit measure, Sharpe ratio and directional forecast), being the reduction grater in the US dollar-Deutschmark case than in the US dollar-Japanese yen case.||URI:||http://hdl.handle.net/10553/48011||ISSN:||1350-4851||DOI:||10.1080/13504850210137802||Source:||Applied Economics Letters[ISSN 1350-4851],v. 9, p. 827-832|
|Appears in Collections:||Artículos|
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