Trading rule profits and the Australian dollar

Kim Hawtrey, James Nyugen

Research output: Contribution to journalArticlepeer-review


The efficiency of price determination in the Australian dollar (AUD) foreign currency market is of significant concern for national economic policy and well-being. This paper tests efficiency by assessing the profitability of technical trading rules applied to spot exchange rates. We show that trading-rule profits have tended to evaporate across the two decades since the floating of the exchange rate. As a check on the possible 'US dollar effect', we include three other major currencies in the analysis.
Original languageEnglish
Pages (from-to)272-283
Number of pages12
JournalEconomic Papers
Issue number3
Publication statusPublished - 2006


  • foreign exchange
  • profits
  • filter rule
  • market efficiency


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