The Profitability of Speculators in Currency Futures Markets

Jonathan Kearns and Philip Manners ()

RBA Research Discussion Papers from Reserve Bank of Australia

Abstract: Using weekly data on the positions of different types of participants in currency futures markets we present evidence that suggests speculators are profitable. Across six currencies, speculators’ gross profits are seemingly positive in 60 per cent of weeks. The profits are significant even after accounting for transactions costs. Our estimated speculator profits are consistent both with speculators being paid a risk premium and with speculators having superior forecasting ability.

Keywords: exchange rates; futures markets; speculators (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2004-09
New Economics Papers: this item is included in nep-fin and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:rba:rbardp:rdp2004-07

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