Trading rule profits and the Australian dollar

Kim Hawtrey; James Nyugen

doi:10.1111/j.1759-3441.2006.tb00400.x

Trading rule profits and the Australian dollar

Kim Hawtrey, James Nyugen

Department of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	272-283
Number of pages	12
Journal	Economic Papers
Volume	25
Issue number	3
DOIs	https://doi.org/10.1111/j.1759-3441.2006.tb00400.x
Publication status	Published - 2006

Keywords

foreign exchange
profits
filter rule
market efficiency

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10.1111/j.1759-3441.2006.tb00400.x

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Trading rule profits and the Australian dollar

Abstract

Keywords

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