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Persistent profitability of technical analysis on foreign exchange markets?

Author

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  • L. MENKHOFF

    (University of Freiburg)

  • M. SCHLUMBERGER

    (University of Freiburg)

Abstract

The effect of technical analyses on the performance of subsequent policies and actions in the foreign exchange markets is analysed using three cases. Results show that use of technical analyses is persistently profitable. Participants, however, tend to view short-term market risk as important and thus decide to forego some of the rules derived from technical analysis. This observation does not negate the theory on efficient learning.

Suggested Citation

  • L. Menkhoff & M. Schlumberger, 1995. "Persistent profitability of technical analysis on foreign exchange markets?," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 48(193), pages 189-215.
    • Handle: RePEc:psl:bnlqrr:1995:25
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    File URL: http://ojs.uniroma1.it/index.php/PSLQuarterlyReview/article/view/10506/10392
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    Cited by:

    1. Norbert Fiess & Ronald MacDonald, 1999. "Technical Analysis in the Foreign Exchange Market: A Cointegration-Based Approach," Multinational Finance Journal, Multinational Finance Journal, vol. 3(3), pages 147-172, September.
    2. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
    3. Schulmeister, Stephan, 2006. "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, vol. 3(3), pages 212-233, September.
    4. Vitale, Paolo, 2000. "Speculative noise trading and manipulation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 689-712, October.
    5. Stephan Schulmeister, 2000. "Technical Analysis and Exchange Rate Dynamics," WIFO Studies, WIFO, number 25857, March.
    6. Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
    7. Carol L. Osler, 2000. "Support for resistance: technical analysis and intraday exchange rates," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 53-68.
    8. Frenkel Michael & Stadtmann Georg, 2004. "Trading Rule Profitability and Central Bank Interventions in the Dollar-Deutsch mark Market / Der Zusammenhang zwischen der Profitabilität einer technischen Handelsstrategie und Zentralbankinterventio," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 653-672, December.
    9. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    10. Tweneboah Senzu, Emmanuel, 2020. "Modern currency exchange rate behaviour and proposed trend-like forecasting model," MPRA Paper 99933, University Library of Munich, Germany.
    11. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    12. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, March.
    13. Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.

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