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Transactions data tests of efficiency: An investigation in the Singapore futures markets

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  • Mahendra Raj

Abstract

The aim of this article is to test the profitability of technical trading rules in the intra‐day currency futures market. A wide range of technical strategies are applied to tick data over a two‐year period for two currency futures—Japanese Yen (JY) and Deutschemark (DM)—traded in the Singapore International Monetary Exchange. The study finds that after incorporating transactions costs and testing for the significance of the profits using a bootstrap methodology, none of the technical trading systems produce significant returns. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:687–704, 2000

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  • Mahendra Raj, 2000. "Transactions data tests of efficiency: An investigation in the Singapore futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(7), pages 687-704, August.
    • Handle: RePEc:wly:jfutmk:v:20:y:2000:i:7:p:687-704
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    Cited by:

    1. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
    2. Narayan, Paresh Kumar & Mishra, Sagarika & Narayan, Seema & Thuraisamy, Kannan, 2015. "Is Exchange Rate Trading Profitable?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 217-229.

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