The risk-adjusted trading rule profits in currency spot cross-rates
This article studies the profitability of the Moving Average (MA) trading rule in the cross-rate market. We show that the MA rules are profitable if the two currencies belong to different economic zones. In addition, our study demonstrates that the interest rate differential has little effect on the trading rule returns.
Year of publication: |
2007
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Authors: | Chong, Terence Tai-Leung ; Shik, Thomas Chun-Sing |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 3.2007, 2, p. 71-76
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Publisher: |
Taylor and Francis Journals |
Saved in:
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