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

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  • STEPHEN J. TAYLOR

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

Suggested Citation

  • Stephen J. Taylor, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 105-116, December.
    • Handle: RePEc:bla:ecorec:v:68:y:1992:i:s1:p:105-116
    DOI: 10.1111/j.1475-4932.1992.tb02298.x
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    References listed on IDEAS

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