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Yun-Shan Dai and Wei-Ming Lee
 
''The profitability of technical analysis in the Taiwan-U.S. forward foreign exchange market''
( 2011, Vol. 31 No.2 )
 
 
Based on technical analysis and White's and Hansen's data-snooping-robust tests, we examine the efficiency of the Taiwan-U.S. forward foreign exchange market and find that, unlike the spot market, the forward market is inefficient even under a very high transaction cost, suggesting that the failure of forward rate unbiasedness documented in the literature may be due to forward market inefficiency.
 
 
Keywords: data snooping, forward exchange rate unbiasedness, market efficiency, profitability, reality check, technical analysis
JEL:
F3 - International Finance: General
 
Manuscript Received : Apr 06 2011 Manuscript Accepted : Jun 05 2011

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