A great deal of controversy surrounding technical analysis and the efficient market hypothesis as well as a lack of research in the academic literature on the role of price highs and lows in the foreign exchange market were the reasons to undertake this research. The purpose of this paper was to...

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...