The Performance of Trading Rules on Four Asian Currency Exchange Rates

Cheung, Yin-Wong; Wong, Clement Yuk-Pang

Volume 1, Number 1 / March , Pages 1-80

Multinational Finance Journal, 1997, vol. 1, no. 1, pp. 1-22

Yin-Wong Cheung , University of California Santa Cruz, U.S.A. Corresponding Author

Clement Yuk-Pang Wong , City University of Hong Kong

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.

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