Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market

Oliver Hossfeld () and Andreas Röthig

Finance Research Letters, 2016, vol. 18, issue C, 218-225

Abstract: We analyze whether various types of speculative investor correctly anticipate future USD/EUR currency movements or whether they tend rather to react to past exchange rate movements. In contrast to earlier studies, we account for the large number of tests conducted by comparing results based on individual significance tests with those based on controlling the false discovery rate (FDR) or the family-wise error rate (FER). While the evidence for speculative positions leading exchange rate movements, and therefore an inefficient EUR currency futures market, largely collapses if we account for multiple testing, such a pattern does not emerge in the other direction.

Keywords: Speculative positions; Currency futures; Exchange rates; Predictive regressions; Multiple testing (search for similar items in EconPapers)
JEL-codes: C32 F31 G15 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612316300563
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Do speculative traders anticipate or follow USD/EUR exchange rate movements? New evidence on the efficiency of the EUR currency futures market (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:18:y:2016:i:c:p:218-225

DOI: 10.1016/j.frl.2016.04.019

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().