A comparison of MA and RSI returns with exchange rate intervention

This study compares the efficacy of the Relative Strength Index (RSI) vis-a-vis the Moving Average (MA) trading rules on the daily exchange rates of six currencies. The results indicate that the trading rules can yield positive risk-adjusted returns, and the profitability of these trading rules is positively related to central bank interventions. It is also found that the impact of interest rate differentials on the trading rule return is immaterial.

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Year of publication:	2007
Authors:	Shik, Thomas ; Chong, Terence Tai-Leung
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 14.2007, 5, p. 371-383
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009196022