Cross-market information spillover and the performance of technical trading in the foreign exchange market

This study evaluates the effect of cross-market information spillover on the performance of popular variable-length moving averages (VMAs) for trading the daily exchange rates of New Taiwan Dollars to US Dollars (FX NTD/USD ). Information incorporated in the Dow Jones Industrial Average (DJIA) and T...

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Bibliographic Details
Published in:Journal of economics and finance 2019-04, Vol.43 (2), p.211-227
Main Author: Chang, Yung-Ho
Format: Article
Language:English
Subjects:
American dollar
Bias
Dow Jones averages
Economic models
Economics
Economics and Finance
Equity
Finance
Foreign exchange markets
Foreign exchange rates
Intervention
Macroeconomics/Monetary Economics//Financial Economics
Prices
Profitability
Profits
Securities markets
Stock exchanges
Time series
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Summary:This study evaluates the effect of cross-market information spillover on the performance of popular variable-length moving averages (VMAs) for trading the daily exchange rates of New Taiwan Dollars to US Dollars (FX NTD/USD ). Information incorporated in the Dow Jones Industrial Average (DJIA) and Taiwan Stock Index (TWSI) is introduced to study the effect. The results indicate that VMAs outperform the buy-and-hold strategy. Moreover, the information reflected in the DJIA and TWSI promotes the performance of VMAs. After correcting for data snooping bias, the DJIA is more informative than FX NTD/USD and the TWSI for VMAs.
ISSN:1055-0925
1938-9744
DOI:10.1007/s12197-018-9440-3