• Login
• Admin

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 [Dissertation (University of Nottingham only)] (Unpublished)

PDF (Shuailin Wu's Dissertation) - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader Download (810kB)

Abstract

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.

Item Type:	Dissertation (University of Nottingham only)
Depositing User:	EP, Services
Date Deposited:	22 Nov 2010 13:46
Last Modified:	31 Jan 2018 04:50
URI:	https://eprints.nottingham.ac.uk/id/eprint/24095

Actions (Archive Staff Only)

Edit View