원-달러 외환시장의 약형 효율성에 관한 연구

• 영문명: Weak-Form Efficiency of the U.S. Dollar (USD) and Korean Won (KRW) Currency Market
• 발행기관: 한국무역연구원
• 저자명: 박철호(Cheol Ho Park)
• 간행물 정보: 『무역연구』제11권 제4호, 143~160쪽, 전체 18쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2015.08.30

영문 초록

This article tests the weak-form efficiency of the USD-KRW currency market by examining trading performance based on several well-known technical trading strategies(i.e., filter rules, simple and exponential moving averages, and support and resistance). Using daily spot exchange rate data over the 2000~2014 period, and three sub-periods(2000~2004, 2005~2009, 2010~2014), we show that filter rules produce statistically significant trading profits during the early 2000~2004 period both in- and out-of-sample tests even after accounting for transaction costs and data-snooping biases. However, trading performance using technical trading strategies in terms of the Sharpe ratio has gradually decreased since the mid-2000s and mostly disappeared over the 2010~2014 period. This finding suggests that informational efficiency of the USD-KRW currency market has been improved over time.

목차

Abstract

Ⅰ. 서론

Ⅱ. 자료 및 기초통계량

Ⅲ. 연구방법론

Ⅳ. 실증분석 결과

Ⅴ. 요약 및 결론

References

Appendix

키워드

USD/KRW Rate Technical Analysis Data-Snooping Market Efficiency