Advanced Search
MyIDEAS: Login to save this paper or follow this series

The Efficient Market Hypothesis: Is It Applicable to the Foreign Exchange Market?

Contents:

Author Info

Registered author(s):

    Abstract

    The study analyses the applicability of the efficient market hypothesis to the foreign exchange market by testing the profitability of the filter rule on the spot market. The significance of the returns was validated by comparing them to the returns from randomly generated shuffled series via bootstrap methods. The results were surprising. For the total period (1984-2003) small filter rules could deliver significant returns indicating an inefficient foreign exchange market. However, once the data was separated into four sub-periods of five years to test the stability of the returns, the results indicate that only the first sub period delivered significant returns. In the last two sub periods or ten years, the returns from employing filter rules were negative. This supports the conclusion that the efficient market hypothesis is valid in the foreign exchange market.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.uow.edu.au/content/groups/public/@web/@commerce/@econ/documents/doc/uow012181.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp04-20.

    as in new window
    Length: 18 pages
    Date of creation: 2004
    Date of revision:
    Handle: RePEc:uow:depec1:wp04-20

    Contact details of provider:
    Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
    Phone: +612 4221-3659
    Fax: +612 4221-3725
    Web page: http://business.uow.edu.au/econ/index.html
    More information through EDIRC

    Related research

    Keywords: Efficient market hypothesis; foreign exchange market; filter rules;

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Dittmar, Robert & Neely, Christopher J & Weller, Paul, 1996. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," CEPR Discussion Papers 1480, C.E.P.R. Discussion Papers.
    2. Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Working Papers 7777, National Bureau of Economic Research, Inc.
    3. Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-82, March.
    4. Curcio, Riccardo, et al, 1997. "Do Technical Trading Rules Generate Profits? Conclusions from the Intra-day Foreign Exchange Market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 267-80, October.
    5. Chang, P H Kevin & Osler, Carol L, 1999. "Methodical Madness: Technical Analysis and the Irrationality of Exchange-Rate Forecasts," Economic Journal, Royal Economic Society, vol. 109(458), pages 636-61, October.
    6. Stephan Schulmeister, 1988. "Currency speculation and dollar fluctuations," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 41(167), pages 343-365.
    7. Carol Osler, 2000. "Support for resistance: technical analysis and intraday exchange rates," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 53-68.
    8. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    9. Fernando Rubio, 2004. "Technical Analysis On Foreign Exchange: 1975 - 2004," Finance 0405033, EconWPA, revised 01 Jul 2004.
    10. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:uow:depec1:wp04-20. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Peter Siminski).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.