Sung K. Min , Peggy E. Swanson , Anthony F. Herbst
{"title":"投机效率与外汇期货:聚焦于北美、西欧和太平洋地区的选定国家","authors":"Sung K. Min , Peggy E. Swanson , Anthony F. Herbst","doi":"10.1016/1042-752X(91)90015-R","DOIUrl":null,"url":null,"abstract":"<div><p>This study extends the investigation of speculative efficiency and unbiasedness in the forward foreign exchange market to the foreign currency futures market. Consistent with the normal backwardation/contango hypothesis, results show that futures rates are not unbiased forecasts of future spot rates. A trading rule based on these results reveals attractive speculative opportunities which appear too large to be cccounted for by risk aversion of investors.</p></div>","PeriodicalId":100963,"journal":{"name":"North American Review of Economics and Finance","volume":"2 1","pages":"Pages 83-94"},"PeriodicalIF":0.0000,"publicationDate":"1991-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/1042-752X(91)90015-R","citationCount":"0","resultStr":"{\"title\":\"Speculative efficiency and foreign currency futures: A focus on selected countries in North America, Western Europe, and the Pacific\",\"authors\":\"Sung K. Min , Peggy E. Swanson , Anthony F. Herbst\",\"doi\":\"10.1016/1042-752X(91)90015-R\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This study extends the investigation of speculative efficiency and unbiasedness in the forward foreign exchange market to the foreign currency futures market. Consistent with the normal backwardation/contango hypothesis, results show that futures rates are not unbiased forecasts of future spot rates. A trading rule based on these results reveals attractive speculative opportunities which appear too large to be cccounted for by risk aversion of investors.</p></div>\",\"PeriodicalId\":100963,\"journal\":{\"name\":\"North American Review of Economics and Finance\",\"volume\":\"2 1\",\"pages\":\"Pages 83-94\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1991-03-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://sci-hub-pdf.com/10.1016/1042-752X(91)90015-R\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Review of Economics and Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/1042752X9190015R\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Review of Economics and Finance","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/1042752X9190015R","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Speculative efficiency and foreign currency futures: A focus on selected countries in North America, Western Europe, and the Pacific
This study extends the investigation of speculative efficiency and unbiasedness in the forward foreign exchange market to the foreign currency futures market. Consistent with the normal backwardation/contango hypothesis, results show that futures rates are not unbiased forecasts of future spot rates. A trading rule based on these results reveals attractive speculative opportunities which appear too large to be cccounted for by risk aversion of investors.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
