| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3818 |
| 来源ID | Working Paper 3818 |
| The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach | |
| Richard M. Levich; Lee R. Thomas | |
| 发表日期 | 1991-08-01 |
| 出版年 | 1991 |
| 语种 | 英语 |
| 摘要 | In this paper, we present new evidence on the profitability and statistical significance of technical trading rules in the foreign exchange market. We utilize a new data base, currency futures contracts for the period 1976-1990, and we implement a new testing procedure based on bootstrap methodology. Using this approach, we generate thousands of new exchange rate series constructed by random reordering of each original series. We then measure the profitability of the technical rules for each new series. The significance of the profits in the original series is assessed by comparison to the empirical distribution of results derived from the thousands of randomly generated series. Overall, our results suggest that simple technical trading rules have very often led to profits that are highly unusual. Splitting the entire 15-year sample period into three 5-year periods reveals that on average the profitability of some trading rules declined in the 1986-1990 period although profits remained positive (on average) and significant in many cases. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w3818 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/561143 |
| 推荐引用方式 GB/T 7714 | Richard M. Levich,Lee R. Thomas. The Significance of Technical Trading-Rule Profits in the Foreign Exchange Market: A Bootstrap Approach. 1991. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3818.pdf（267KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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