The study investigates the profitability of 1024 moving average and momentum models and their components in the yen/dollar market. It turns out that all models would have been profitable between 1976 and 1999. The pattern of profitability is as follows. The models produce more single losses than...

This paper investigates the sources of the profitability of 1024 moving average and momentum models when trading in the German mark (euro)/U.S. dollar market based on daily data. The main results are as follows. First, each of these models would have been profitable over the entire sample...

The abrupt market adjustments that usually succeed a long period of positive returns from foreign currency speculation negate the observed deviation from market efficiency known as the ‘forward premium puzzle', the theoretical underpinning of sustained trading profits. This analysis presents...

This paper examines the Turn of the Month (TOM) effect in the highly capitalized emerging South African stock market which presents this calendar not only in the stock market, but in the USDZAR FX market also. These characteristics enable us to gain new perspectives on the study of the TOM...

This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural...

This paper uses daily data to analyze how stock and foreign exchange markets react to terror.The data distinguishes location, type of attack and target, number of casualties, and the number of attacks per day for 639 terror attacks between 1990 and 2003 in which 1212 people in Israel were killed...

The rational expectations efficient market model of the exchange rate has failed empirically. In this paper we develop a model of the exchange rate in which agents use simple forecasting rules. Based on an ex post evaluation of the relative profitability of these rules they decide whether to...

We explore the efficiency of the forward reichsmark market in Vienna between 1876 and 1914. We estimate ARIMA models of the spot exchange rate in order to forecast the one-month-ahead spot rate. In turn we compare these forecasts to the contemporaneous forward rate, i.e., the market's forecast...

This study aims to test the efficiency of the Korean foreign exchange market and examine its determinants through several well-established methodologies based on the forward rate unbiasedness hypothesis and covered interest rate parity. The empirical findings indicate that the currency market...

We report evidence on the profitability and statistical significance among 2,127 technical trading rules. The best rules are found to be significantly profitable based on standard tests. We then employ White's (2000) Reality Check to evaluate these rules and find that data-snooping biases do not...