The Performance of Trading Rules on Four Asian Currency Exchange Rates

22 Pages Posted: 18 Jul 2015

See all articles by Yin-Wong Cheung

Yin-Wong Cheung

University of California, Santa Cruz - Department of Economics

Clement Yuk-Pang Wong

City University of Hong Kong (CityU) - Department of Economics & Finance

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Date Written: 1997

Abstract

This article evaluates the performance of filter rules on four Asian exchange rates against the U.S. dollar. Risk premiums derived from the choice under uncertainty model and the GARCH specification are used to construct the risk-adjusted return series. Results show that risk premiums have significant implications for the performance of filter rules. Further, even if investors can tolerate some risk, transaction costs can further eliminate most of the remaining profitable trading opportunities.

Suggested Citation

Cheung, Yin-Wong and Wong, Clement Yuk-Pang, The Performance of Trading Rules on Four Asian Currency Exchange Rates (1997). Multinational Finance Journal, Vol. 1, No. 1, p. 1-22, 1997, Available at SSRN: https://ssrn.com/abstract=2631568

Yin-Wong Cheung (Contact Author)

University of California, Santa Cruz - Department of Economics ( email )

Engineering 2, Department of Economics
University of California
Santa Cruz, CA 95064
United States
831-459-5077 (Fax)

Clement Yuk-Pang Wong

City University of Hong Kong (CityU) - Department of Economics & Finance ( email )

83 Tat Chee Avenue
Kowloon
Hong Kong
852-2-788-7948 (Phone)
852-2-788-8806 (Fax)

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