The efficiency of the Australian foreign exchange market : January 1977-December 1984

Gibbons, Anne Louise. (1985). The efficiency of the Australian foreign exchange market : January 1977-December 1984 Honours Thesis, School of Economics, University of Queensland.

       
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Author Gibbons, Anne Louise.
Thesis Title The efficiency of the Australian foreign exchange market : January 1977-December 1984
School, Centre or Institute School of Economics
Institution University of Queensland
Publication date 1985
Thesis type Honours Thesis
Total pages 73
Language eng
Subjects 14 Economics
Formatted abstract       This thesis investigates the concept of market efficiency and the potential use of the forward exchange rate as a forecaster of the future spot rate. We discuss the Australian exchange rate system to see if it could bias the predictive power of the forward rate. We then present a brief discussion of the theory of asset prices and the ability of the asset pricing model to explain some of the observed empirical regularities of the foreign exchange rate market.

      The efficiency of the Australian official forward exchange market is tested for the period January 1977 to December 1984 for both the one-month and three month forward rates. The results indicate that while the one-month forward rate was an unbiased predictor, the three-month forward rate has been biased in its predictions.

 
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Created: Tue, 23 Nov 2010, 11:41:45 EST by Muhammad Noman Ali on behalf of The University of Queensland Library