The Profitability of Speculators in Currency Futures Markets
AbstractUsing weekly data on the positions of different types of participants in currency futures markets we present evidence that suggests speculators are profitable. Across six currencies, speculators’ gross profits are seemingly positive in 60 per cent of weeks. The profits are significant even after accounting for transactions costs. Our estimated speculator profits are consistent both with speculators being paid a risk premium and with speculators having superior forecasting ability.
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Bibliographic InfoPaper provided by Reserve Bank of Australia in its series RBA Research Discussion Papers with number rdp2004-07.
Date of creation: Sep 2004
Date of revision:
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-09-30 (All new papers)
- NEP-FIN-2004-09-30 (Finance)
- NEP-IFN-2004-09-30 (International Finance)
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