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.
|Number of pages||12|
|Publication status||Published - 2006|
- foreign exchange
- filter rule
- market efficiency