The unbiased forward rate hypothesis: a re-examination

Chulho Jung, K. Doroodian and Robert Albarano

Applied Financial Economics, 1998, vol. 8, issue 6, 567-575

Abstract: This paper attempts to reconcile the differences in previous studies of the tests of foreign exchange market efficiency. The results show that the market efficiency tests depend on the choice of model between the level and the percentage change specifications. Cointegration testing results and estimated error correction models provide the evidence of market inefficiency.

Date: 1998
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DOI: 10.1080/096031098332600

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