Abstract
The moving average (MA) trading rule is applied to six European spot cross-rates — JY/BP, DM/BP, JY/DM, SF/DM, SF/BP, and JY/SF — to see if opportunities for profitable trading exist. The results suggest that MA trading rules are marginally profitable only for the JY/DM and the JY/SF cross-rates, while trading rules are not profitable for the other four cross-rates. Bootstrapping and out-of-sample tests provide similar results. Examination of subsamples characterized by central bank intervention do not produce different results. Computation of Box-Pierce statistics adjusted for heteroscedasticity show that daily returns for all six cross-rates are serially uncorrelated. Overall, the results suggests that cross-rates are sufficiently transparent to eliminate MA trading rule profit.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
