Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH
Abstract This dissertation aims to investigate the relationship with forward exchange rate and future spot exchange rate by six bilateral exchange rates from ERM crisis happened (1992) to the end of credit crisis (2009). The empirical test in this paper based on Fama’s equation with unit root test (...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2010
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| Online Access: | https://eprints.nottingham.ac.uk/24095/ |
| _version_ | 1848792700809117696 |
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| author | Shuailin, Wu |
| author_facet | Shuailin, Wu |
| author_sort | Shuailin, Wu |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | Abstract
This dissertation aims to investigate the relationship with forward exchange rate and future spot exchange rate by six bilateral exchange rates from ERM crisis happened (1992) to the end of credit crisis (2009). The empirical test in this paper based on Fama’s equation with unit root test (Augmented Dickey-Fuller test) and cointegration test (Johansen Cointegration test) which are ignored in earlier study.
In addition, this dissertation attempts to test the Speculative Efficiency Hypothesis (SEH) whether can be used in foreign exchange rate market. The results indicate that for predicting with short maturity, the forward exchange rate is an unbiased predictor of the future spot exchange rate, i.e. the SEH can be held. But the forecasting with long maturity, the forward exchange rate is not an unbiased predictor of the future spot exchange rate and SEH is rejected. |
| first_indexed | 2025-11-14T18:48:35Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-24095 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:48:35Z |
| publishDate | 2010 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-240952018-01-31T04:50:46Z https://eprints.nottingham.ac.uk/24095/ Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH Shuailin, Wu Abstract This dissertation aims to investigate the relationship with forward exchange rate and future spot exchange rate by six bilateral exchange rates from ERM crisis happened (1992) to the end of credit crisis (2009). The empirical test in this paper based on Fama’s equation with unit root test (Augmented Dickey-Fuller test) and cointegration test (Johansen Cointegration test) which are ignored in earlier study. In addition, this dissertation attempts to test the Speculative Efficiency Hypothesis (SEH) whether can be used in foreign exchange rate market. The results indicate that for predicting with short maturity, the forward exchange rate is an unbiased predictor of the future spot exchange rate, i.e. the SEH can be held. But the forecasting with long maturity, the forward exchange rate is not an unbiased predictor of the future spot exchange rate and SEH is rejected. 2010-09-24 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/24095/1/shuailinwu.pdf Shuailin, Wu (2010) Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Shuailin, Wu Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH |
| title | Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH |
| title_full | Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH |
| title_fullStr | Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH |
| title_full_unstemmed | Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH |
| title_short | Whether Forward Exchange Rate is an Unbiased Predictor for Future Spot Rate: an Empirical Study for testing SEH |
| title_sort | whether forward exchange rate is an unbiased predictor for future spot rate: an empirical study for testing seh |
| url | https://eprints.nottingham.ac.uk/24095/ |