A comparison of MA and RSI returns with exchange rate intervention
Publication in refereed journal

香港中文大學研究人員

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替代計量分析
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摘要This study compares the efficacy of the Relative Strength Index (RSI) vis-a-vis the Moving Average (MA) trading rules on the daily exchange rates of six currencies. The results indicate that the trading rules can yield positive risk- adjusted returns, and the profitability of these trading rules is positively related to central bank interventions. It is also found that the impact of interest rate differentials on the trading rule return is immaterial.
著者Shik TC, Chong TTL
期刊名稱Applied Economics Letters
出版年份2007
月份1
日期1
卷號14
期次5
出版社ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
頁次371 - 383
國際標準期刊號1350-4851
電子國際標準期刊號1466-4291
語言英式英語
Web of Science 學科類別Business & Economics; Economics; ECONOMICS

上次更新時間 2020-21-11 於 00:32