The efficiency of the forward exchange market

McAvinchey, I.D. and MacDonald, R. (1987) The efficiency of the forward exchange market. Economics Letters, 25(1), pp. 71-74. (doi:10.1016/0165-1765(87)90017-6)

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Abstract

In this note we test the efficiency of the forward market for foreign exchange for the UK pound-US dollar exchange rate, using residuals from the LUS class. We show that previous rejections of efficiency in the forward market have not been due to the use of residuals from the OLS class.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: McAvinchey, I.D., and MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economics Letters
Publisher:Elsevier
ISSN:0165-1765
ISSN (Online):1873-7374

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