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Do Momentum-Based Strategies Still Work in Foreign Currency Markets?

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  • Okunev, John
  • White, Derek
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 38 (2003)
    Issue (Month): 02 (June)
    Pages: 425-447

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    Handle: RePEc:cup:jfinqa:v:38:y:2003:i:02:p:425-447_00

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    1. Levich, Richard M, 1989. "Is the Foreign Exchange Market Efficient?," Oxford Review of Economic Policy, Oxford University Press, Oxford University Press, vol. 5(3), pages 40-60, Autumn.
    2. Neely, C. J. & Weller, P. A., 2003. "Intraday technical trading in the foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(2), pages 223-237, April.
    3. Sweeney, Richard J., 1997. "Do central banks lose on foreign-exchange intervention? A review article," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1667-1684, December.
    4. Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 32(04), pages 405-426, December.
    5. Stephan Schulmeister, 1988. "Currency speculation and dollar fluctuations," BNL Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 41(167), pages 343-365.
    6. Christopher Neely & Paul Weller, 2000. "Technical analysis and central bank intervention," Working Papers, Federal Reserve Bank of St. Louis 1997-002, Federal Reserve Bank of St. Louis.
    7. Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 23(03), pages 285-300, September.
    8. Christopher J. Neely, 2002. "The temporal pattern of trading rule returns and central bank intervention: intervention does not generate technical trading rule profits," Working Papers, Federal Reserve Bank of St. Louis 2000-018, Federal Reserve Bank of St. Louis.
    9. Christopher J. Neely, 1998. "Technical analysis and the profitability of U.S. foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 3-17.
    10. Frankel, Jeffrey A & Froot, Kenneth A, 1990. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," American Economic Review, American Economic Association, vol. 80(2), pages 181-85, May.
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