by To Kwok-Fai. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 83-84). / ABSTRACT --- p.ii / ACKNOWLEDGEMENTS --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / LIST OF TABLES --- p.viii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- THE GROWTH AND CHANGING CHARACTER OF THE FOREIGN EXCHANGE MARKET --- p.3 / Three Economic Blocs --- p.3 / Increase of Trading Volume --- p.4 / Shift In Customer Base --- p.5 / Twenty-four Hours Global Market --- p.5 / Growth in the Use of Computer --- p.6 / Chapter III. --- FORECASTING OF FOREIGN EXCHANGE RATE --- p.7 / Efficient Market Hypothesis and Random Walk Theory --- p.7 / The Hypothesis --- p.7 / Implications --- p.9 / Chaos Theory --- p.9 / Definition --- p.9 / Phenomena in Foreign Exchange Market --- p.9 / Implications --- p.12 / Fundamental Analysis in Forecasting Foreign Exchange Rate --- p.12 / Technical Analysis in Forecasting Foreign Exchange Rate --- p.15 / Other Factors Influencing Foreign Exchange Rate --- p.17 / Chapter IV. --- METHODOLOGY --- p.18 / Collection of Data --- p.18 / Selection of Trading Systems --- p.20 / Construction of Trading Systems --- p.21 / Simple Moving Average Trading System --- p.21 / Directional Movement Index Trading System --- p.22 / Evaluation of Trading Performance --- p.27 / Chapter V. --- RESULTS AND FINDINGS --- p.30 / Simple Moving Average Trading System --- p.30 / Directional Movement Index Trading System --- p.40 / Comparison of the Two Trading Systems --- p.50 / Current Net Profit or Loss --- p.50 / Sample Standard Deviation --- p.52 / Sharpe Ratio --- p.52 / Ratio of Average Profit per Profitable Transaction to Average Loss per Losing Transaction --- p.55 / Chapter VI. --- CONCLUSIONS --- p.57 / APPENDIX / Chapter 1. --- Program Listing of Simple Moving Average Trading System Performance Report --- p.59 / Chapter 2. --- Program Listing of Directional Movement Index Trading System Performance Report --- p.63 / Chapter 3. --- "Detailed Listing of USD/DEM High, Low and Close Exchange Rate from Oct 18 1988 to Dec 31 1991" --- p.67 / BIBLIOGRAPHY --- p.83
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_318826 |
| Date | January 1992 |
| Contributors | To, Kwok-Fai., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, viii, 84 leaves : Charts ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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