The implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economies

dc.contributor.authorGurrib, Ikhlaas
dc.contributor.authorKamalov, Firuz
dc.date.accessioned2020-02-23T14:25:17Z
dc.date.available2020-02-23T14:25:17Z
dc.date.copyright2019
dc.date.issued2019
dc.descriptionThis article is not available at CUD collection. The version of scholarly record of this Article is published in Macroeconomics and Finance in Emerging Market Economies (2019), available online at: https://doi.org/10.1080/17520843.2019.1574852.en_US
dc.description.abstractThis study proposes refinements to some weaknesses in the Relative Strength Index (RSI) model and tests its predictability over pre and post crisis periods for the most active USD based currency pairs, including two energy markets. A new model (AdRSI) is tested using daily data over 2001–2015. Benchmarked against RSI and buy-and-hold models, findings support an inverse relationship between energy and currency markets. While energy markets had relatively higher risk, Chinese yuan had the lowest annualized risk. AdRSI produced higher annualized returns, lower number of trades and higher annualized risk. Overall, the buy-and-hold model was superior with higher reward-to-volatility. © 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.en_US
dc.identifier.citationGurrib, I., & Kamalov, F. (2019). The implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economies. Macroeconomics and Finance in Emerging Market Economies, 12(2), 105–123. https://doi.org/10.1080/17520843.2019.1574852en_US
dc.identifier.issn17520843
dc.identifier.urihttp://dx.doi.org/10.1080/17520843.2019.1574852
dc.identifier.urihttp://hdl.handle.net/20.500.12519/152
dc.language.isoenen_US
dc.publisherRoutledgeen_US
dc.relationAuthors Affiliations: Gurrib, I., Faculty of Management, Canadian University Dubai, Dubai, United Arab Emirates; Kamalov, F., Faculty of Engineering & Architecture, Canadian University Dubai, Dubai, United Arab Emirates
dc.relation.ispartofseriesMacroeconomics and Finance in Emerging Market Economies;Vol. 12, no. 2
dc.rightsPermission to reuse the abstract has been secured from Routledge.
dc.rights.holderCopyright : 2019 Informa UK Limited, trading as Taylor & Francis Group.
dc.subjectAdjusted relative strength indexen_US
dc.subjectEmerging and developed economiesen_US
dc.subjectForeign currency marketsen_US
dc.titleThe implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economiesen_US
dc.typeArticleen_US

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