The temporal pattern of trading rule returns and exchange rate intervention: intervention does not generate technical trading profits

By Christopher J. Neely. 2002

110 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/076868b0171f7d06b17213f6dcffb831fa43c49d

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Citations in the corpus

Trend-following trading strategies in commodity futures: A re-examination (2010, methodology): “Robustness tests The results in Table 1 clearly show that monthly returns to long positions in commodity futures are not normally distributed, yet the Newey and West (1987) t-tests used in the study assume normal distributions.”
When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006, background): “Using more finely timed data, Neely (2002) however, finds that interventions are unlikely to have “caused” the increase in trading rule profits, but instead that interventions tend to arise 5 For example, Peiers (1997) examines how interactions between informed (defined to be indications provided…”
Stochastic and genetic neural network combinations in trading and hybrid time-varying leverage effects (2014, background): “Neely (2002) examines the DEM/USD, DEM/USD, JPY/USD, CHF/USD and AUD/USD exchange rates through a moving average and the means of the estimated returns do not exceed 9%.”
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “Thus, only the studies of Dooley and Shafer (1983) and Sweeney (1986) have been consistently cited in the literature (see e.g. Gencay, 1999; LeBaron, 1999; Neely, 2002; Olson, 2004).”
The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (2009, background): “But Neely (2002) used higher frequency data to show that almost all the TTR returns on the day of intervention occurred overnight, before intervention could plausibly have occurred.”
A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, background): “For example, LeBaron (1999) and Neely (2002), among others, show that there are substantial gains with the use of the MA signal and the gains are much larger than those for stock indices.”
Currency Momentum Strategies (2012, unknown): “Our results show that interventions are not very powerful in capturing momentum returns, broadly consistent with the findings in Neely (2002).”
Technical analysis: An asset allocation perspective on the use of moving averages (2009, background): “For example, LeBaron (1999) and Neely (2002), among others, show that substantial gains are made with the use of MAs and the gains are much larger than those in the stock market.”