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| Yun-Shan Dai and Wei-Ming Lee |
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| ''The profitability of technical analysis in the Taiwan-U.S. forward foreign exchange market'' |
| ( 2011, Vol. 31 No.2 ) |
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| 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. |
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| Keywords: data snooping, forward exchange rate unbiasedness, market efficiency, profitability, reality check, technical analysis |
JEL:
F3 - International Finance: General |
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| Manuscript Received : Apr 06 2011 | | Manuscript Accepted : Jun 05 2011 |
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