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Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?

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Author Info
Taylor, Stephen J
Abstract

Filter, channel, and moving-average trading rules are compared with rules that 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. Copyright 1992 by The Economic Society of Australia.

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Publisher Info
Article provided by The Economic Society of Australia in its journal The Economic Record.

Volume (Year): 0 (1992)
Issue (Month): 0 (Supplement)
Pages: 105-16
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Handle: RePEc:bla:ecorec:v:0:y:1992:i:0:p:105-16

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  6. Jonathan Kearns & Phil Manners, 2004. "The Profitability of Speculators in Currency Futures Markets," RBA Research Discussion Papers rdp2004-07, Reserve Bank of Australia. [Downloadable!]
  7. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-352, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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