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The profitability of technical analysis in the Taiwan-U.S. forward foreign exchange market

Author

Listed:
  • Yun-Shan Dai

    (Graduate Institute of International Economics, National Chung Cheng University)

  • Wei-Ming Lee

    (Department of Economics, National Chung Cheng University)

Abstract

Based on technical analysis and White's and Hansen's data-snooping-robust tests, we examine the efficiency of the Taiwan-U.S. forward foreign exchange market and find that, unlike the spot market, the forward market is inefficient even under a very high transaction cost, suggesting that the failure of forward rate unbiasedness documented in the literature may be due to forward market inefficiency.

Suggested Citation

  • Yun-Shan Dai & Wei-Ming Lee, 2011. "The profitability of technical analysis in the Taiwan-U.S. forward foreign exchange market," Economics Bulletin, AccessEcon, vol. 31(2), pages 1606-1612.
    • Handle: RePEc:ebl:ecbull:eb-11-00221
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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I2-P148.pdf
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    Cited by:

    1. Flavio Ivo Riedlinger & João Nicolau, 2020. "The Profitability in the FTSE 100 Index: A New Markov Chain Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(1), pages 61-81, March.

    More about this item

    Keywords

    data snooping; forward exchange rate unbiasedness; market efficiency; profitability; reality check; technical analysis;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • F3 - International Economics - - International Finance

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