Abstract
This study evaluates the effect of cross-market information spillover on the performance of popular variable-length moving averages (VMAs) for trading the daily exchange rates of New Taiwan Dollars to US Dollars (FXNTD/USD). Information incorporated in the Dow Jones Industrial Average (DJIA) and Taiwan Stock Index (TWSI) is introduced to study the effect. The results indicate that VMAs outperform the buy-and-hold strategy. Moreover, the information reflected in the DJIA and TWSI promotes the performance of VMAs. After correcting for data snooping bias, the DJIA is more informative than FXNTD/USD and the TWSI for VMAs.
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