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

Sung K. Min , Peggy E. Swanson , Anthony F. Herbst
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引用次数: 0

摘要

本研究将远期外汇市场的投机效率与公平性的研究延伸至外汇期货市场。与正常的现货溢价/期货溢价假设一致,结果表明期货利率不是对未来现货利率的无偏预测。基于这些结果的交易规则揭示了有吸引力的投机机会,这些机会似乎太大,无法被投资者的风险厌恶所解释。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.

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