IDEAS home Printed from https://ideas.repec.org/a/eee/pacfin/v92y2025ics0927538x25001416.html
   My bibliography  Save this article

Profitability of technical trading rules in the Chinese yuan-based foreign exchange market

Author

Listed:
  • Song, Shenyi
  • Chuang, O-Chia
  • Fu, Hsuan

Abstract

This study provides a comprehensive analysis of technical trading rules in the Chinese yuan-based foreign exchange market. Utilizing daily data spanning seven years for 14 developed and 10 emerging market currencies, we examine a universe of 41,660 trading rules, significantly expanding the scope of previous research. To address data-snooping bias, we employ the Step-SPA(k) tests, revealing excess profitability in at least half of the developed and emerging currencies, indicating heterogeneous market efficiency across currencies. To ensure the robustness of our findings, we conducted a series of checks, including the Step-SPA test for conservative data-snooping bias control, break-even transaction cost analysis to evaluate profitability under trading costs, out-of-sample performance evaluation to assess generalizability, and an examination of bank intervention effects to account for potential market distortions.

Suggested Citation

  • Song, Shenyi & Chuang, O-Chia & Fu, Hsuan, 2025. "Profitability of technical trading rules in the Chinese yuan-based foreign exchange market," Pacific-Basin Finance Journal, Elsevier, vol. 92(C).
    • Handle: RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001416
    DOI: 10.1016/j.pacfin.2025.102804
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0927538X25001416
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.pacfin.2025.102804?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Chinese foreign exchange; Technical analysis; Trading rules; Data-snooping bias; Emerging country;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • F3 - International Economics - - International Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001416. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/pacfin .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.