The use of fundamental and technical analyses(國際金融-香港大學(xué),WONG Ka Fu)

1、1The use of fundamental and technical analyses by foreign exchange dealers in Hong KongWONG Ka Fu8th February 20002Lui and Mole (1998) reported the results of a questionnaire survey conducted in February 1995zThey investigated the use made by foreign exchange dealers of fundamental and technical ana

2、lyses to form their forecasts of exchange rate movements in the Hong Kong foreign exchange marketz812 questionnaires were sent to Hong Kong Forex Association members.y153 fully completed questionnaires were returned, a response rate of 19%.3Perceived usefulness of fundamental analysis and technical

3、analysis in predicting trends and turning pointsFundamental analysisTechnical analysisTrendsTurning points6.54 (1.90)4.63 (2.24)6.62 (2.01)7.26 (1.69)t-test-0.33-11.43Standard errorsScale: 0 = useless, 10 = very useful4InterpretationzDealers perceive value in using both fundamental and technical ana

4、lysis predict both trends and turning points. zIn forecasting trends, technical analysis is considered only slightly more useful than fundamental analysis, but in predicting turning points technical analysis is considered significantly more useful than the latter.5Perceived importance of fundamental

5、 and technical analyses over different forecast horizonsHorizonImportance given by dealers to Dealers perception of importance given by the market to Intraday1 week6 months1 year1 year1 months3 monthsFundamental analysisTechnical analysisFundamental analysisTechnical analysis3.334.086.416.827.085.03

6、5.987.314.296.515.793.614.286.486.857.085.186.097.437.195.404.934.536.575.85Scale: 0 = useless, 10 = very useful6InterpretationzAt all time horizons, a very high proportion of respondents place some weight on both fundamental and technical analyses when forming views. zAt shorter horizon

7、s, there exists a skew towards reliance on technical as opposed to fundamental analysis, but the skew becomes steadily reversed as the length of horizon considered is increased. 7InterpretationzModels that focus on fundamentals may perform poorly over short horizons because they miss the impart of t

8、echnical analysis-based decision on the market. zOver a longer horizon, models based on fundamental economic reasoning may perform better.8Perceived Complementarity of Fundamental and Technical Analyses (percentage of respondents)6.55.910.517.67.2152.61.3024681012141618012345678910Scale:

9、0=strongly complementary to 10= mutually exclusive Note: Main score = 4.589InterpretationzDealers perceive complementarity in using both fundamental and technical analysis predict both trends and turning points. 10Perceived importance of fundamental factorsIntra-dayIntra-monthInterest rate related f

10、actorsBalance of payments related factors6.825.046.435.771 month6.146.39Inflation related factors3.844.685.47Factor categoryScale: 0 = useless, 10 = very useful11InterpretationzInterest-rate news is a more important fundamental factor but is less important than news about central bank intervention i

11、n influencing intraday exchange rate movements.12Perceived importance of technical analysis techniquesIntra-dayIntra-monthMoving averages and/or other trend-following systemsMomentum lines, oscillators and/or rate of change indicators5.915.876.595.801 month6.515.54Contrary opinion5.074.864.67Factor

12、categoryScale: 0 = useless, 10 = very useful13InterpretationzMoving average and/or other trend-following systems are the most used technical techniques but is less important than news about central bank intervention in influencing intraday exchange rate movements.14InterpretationzIn the use of chartist / technical analysis in forecasting trends and turning points, the most common length of historical period used by the dealers is 12 months and the most used data frequency is daily data.15Reference: z Lui,