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Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data

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  • Allan W. Gregory
  • Thomas H. McCurdy

Abstract

This paper examines the stability of coefficient estimates from weak-form and semi-strong form tests of efficiency in the 30-day forward exchange rate using Canadian/U.S. weekly and monthly data. The structural relationships are unstable and conclusions based on the full sample estimation can, at times, be highly misleading. We argue against the usefulness of semi-strong-form tests in the absence of behavioural modelling.

Suggested Citation

  • Allan W. Gregory & Thomas H. McCurdy, 1982. "Efficiency of the Forward Foreign Exchange Market: A Stability Analysis Using Canadian/U.S. Weekly and Monthly Data," Working Paper 507, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:507
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