| Summary: | 碩士 === 明新科技大學 === 管理研究所碩士在職專班 === 101 === This study mainly explores the feasibility of applying technical analysis to the determination of foreign exchange movements; base on eight technical indicators of MA, KD%, RSI, MACD, W%R, MTM, PSY, and BIAS, ten trading rules are formed to determine the movements of foreign exchange transactions. Next with four direct and three indirect exchange rates and the simulated operations conducted with historical daily exchange rates dated from January 2nd, 2002 to December 28th, 2012, the main conclusions are as followed:
In the direct exchange rate operations, under the premise of excluding the transaction costs, both MA (10, 30) and KD (9, 30, 70) trading rules yielded excessive positive return and total income in multi-USD operations. Therefore, there is a certain degree of reference value for inclining to support both of these trading rules and the lack of efficiency in the exchange rate market. In the indirect exchange rate operations, under the premise of with or without the transaction costs, all ten trading rules failed to generate better investment performances in the currency operations of GBP/USD, AUD/USD, and EUR/USD. Therefore, the application of technical analysis for determining movements in these three indirect exchange rates does not exhibit certain degree of reference value and thus failed to find the lack of efficiency in the exchange rate market.
Keyword: Technical Analysis, Foreign Exchange Market, Investment Performance, Efficiency
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