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TRADING RULE PROFITS AND THE AUSTRALIAN DOLLAR
Author(s) -
HAWTREY KIM,
NGUYEN JAMES
Publication year - 2006
Publication title -
economic papers: a journal of applied economics and policy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.245
H-Index - 19
eISSN - 1759-3441
pISSN - 0812-0439
DOI - 10.1111/j.1759-3441.2006.tb00400.x
Subject(s) - liberian dollar , profitability index , currency , foreign exchange market , monetary economics , economics , exchange rate , foreign exchange swap , spot contract , financial economics , business , international economics , finance , futures contract
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.