Template-Type: ReDIF-Paper 1.0
Author-Name: de Zwart, G.J.
Author-Name-Last: de Zwart
Author-Name-First: Gerben
Author-Name: Markwat, T.D.
Author-Name-Last: Markwat
Author-Name-First: Thijs
Author-Name: Swinkels, L.A.P.
Author-Name-Last: Swinkels
Author-Name-First: Laurens
Author-Person: psw2
Author-Name: van Dijk, D.J.C.
Author-Name-Last: van Dijk
Author-Name-First: Dick
Author-Person: pva27
Title: The Economic Value of Fundamental and Technical Information in Emerging Currency Markets
Abstract: We measure the economic value of information derived from macroeconomic variables and from technical trading rules for emerging markets currency investments. Our analysis is based on a sample of 21 emerging markets with a floating exchange rate regime over the period 1997-2007 and explicitly accounts for trading restrictions on foreign capital movements by using non-deliverable forward data. We document that both types of information can be exploited to implement profitable trading strategies. In line with evidence from surveys of foreign exchange professionals concerning the use of fundamental and technical analysis, we find that combining the two types of information improves the risk-adjusted performance of the investment strategies.
Creation-Date: 2007-12-21
File-URL: https://repub.eur.nl/pub/10891/ERS-2007-096-F&A.pdf
File-Format: application/pdf
Series: RePEc:ems:eureri
Number: ERS-2007-096-F&A
Classification-JEL: E43, G3, M
Keywords: emerging markets, foreign exchange rates, heterogeneous agents, structural exchange rate models, technical trading
Handle: RePEc:ems:eureri:10891