2009-06-01
The economic value of fundamental and technical information in emerging currency markets
Publication
Publication
Journal of International Money and Finance: theoretical and empirical research in international economics and finance , Volume 28 - Issue 4 p. 581- 604
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.
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| doi.org/10.1016/j.jimonfin.2009.01.004, hdl.handle.net/1765/16035 | |
| ERIM Top-Core Articles , Econometric Institute Reprint Series | |
| Journal of International Money and Finance: theoretical and empirical research in international economics and finance | |
| Organisation | Erasmus Research Institute of Management |
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de Zwart, G., Markwat, T., Swinkels, L., & van Dijk, D. (2009). The economic value of fundamental and technical information in emerging currency markets. Journal of International Money and Finance: theoretical and empirical research in international economics and finance, 28(4), 581–604. doi:10.1016/j.jimonfin.2009.01.004 |
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