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- Title
Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?
- Authors
TAYLOR, STEPHEN J.
- Abstract
Filter, channel and moving-average trading rules are compared with rules which use ARIMA price forecasts, by evaluating their ex ante performance for currency futures transactions from December 1981 to November 1987. All of the trading rules are profitable. Market efficiency is discussed Monte Carlo results strongly suggest that the trading profits are too large to be explained by the elusive, time-varying risk premium sought in forward market literature
- Subjects
FOREIGN exchange futures; SPECULATORS; PRICING; PROFIT; RISK premiums
- Publication
Economic Record, 1992, Vol 68, p105
- ISSN
0013-0249
- Publication type
Article
- DOI
10.1111/j.1475-4932.1992.tb02298.x