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The Economic Value of Fundamental and Technical Information in Emerging Currency Markets

  • de Zwart, G.J.
  • Markwat, T.D.
  • Swinkels, L.A.P.
  • van Dijk, D.J.C.

We measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and explicitly accounts for trading restrictions on foreign capital movements by using non-deliverable forward data. We document that both types of information can be exploited to implement profitable trading strategies. In line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis, we find that combining the two types of information improves the risk-adjusted performance of the investment strategies.

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File URL: http://repub.eur.nl/pub/10891/ERS-2007-096-F&A.pdf
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Paper provided by Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam in its series ERIM Report Series Research in Management with number ERS-2007-096-F&A.

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Date of creation: 21 Dec 2007
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Handle: RePEc:ems:eureri:10891
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