This article tests the weak-form efficiency of the USD-KRW currency market by examining trading performance based on several well-known technical trading strategies(i.e., filter rules, simple and exponential moving averages, and support and resistance). Using daily spot exchange rate data over the 2000~2014 period, and three sub-periods(2000~2004, 2005~2009, 2010~2014), we show that filter rules produce statistically significant trading profits during the early 2000~2004 period both in- and out-of-sample tests even after accounting for transaction costs and data-snooping biases. However, trading performance using technical trading strategies in terms of the Sharpe ratio has gradually decreased since the mid-2000s and mostly disappeared over the 2010~2014 period. This finding suggests that informational efficiency of the USD-KRW currency market has been improved over time.
Abstract
Ⅰ. 서론
Ⅱ. 자료 및 기초통계량
Ⅲ. 연구방법론
Ⅳ. 실증분석 결과
Ⅴ. 요약 및 결론
References
Appendix
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