The impossibility of meaningful efficient market parameters in testing for the spot-forward relationship in foreign exchange markets

Economics Letters

Volumn 81, Issue 1, 2003, Pages 81-87

  Wang, Peijie ^a,b   Jones, Trefor ^c  

^a CITY UNIVERSITY   (United Kingdom)

^b IESEG SCHOOL OF MANAGEMENT   (France)

^c UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Foreign exchange rate; Forward premium

Indexed keywords

EID: 0141465158     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(03)00148-4     Document Type: Article

References (5)

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3. Schotman, P., Straetmans, S., de Vries, C.G., 1997. Big news in small samples, Tinbergen Institute Discussion Paper, No 97-083/2.
4. Taylor M.P. The economics of exchange rates Journal of Economic Literature 33 1995 13-47
5. Wang P. Jones T. Testing for efficiency and rationality in foreign exchange markets Journal of International Money and Finance 21 2002 223-239