On Single- and Multi-Market Unbiasedness of F o rw a rd Exchange Rates: Some Evidence from Four Asian Countries

Razzaque H. Bhatti ()
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Razzaque H. Bhatti: University of Azad Jammu & Kashmir, Postal: Kashmir Institute of Development Studies, University of, Azad Jammu & Kashmir, Muzaffarabad, Azad Kashmir, Pakistan

Journal of Economic Integration, 1997, vol. 12, 402-417

Abstract:

Long-run unbiasedness is tested between forward exchange markets of four Asian countries – Hong Kong, Japan, Malaysia and Singapore – vis-à-vis the U.S. and Japan using monthly data on spot and one-month forward exchange rates over the period 1985-1994. The results obtained by employing the Johansen [1988] maximum likelihood technique of cointegration are support - ive of unbiasedness for two countries (Malaysia and Singapore) against Japan but only one (Singapore) against the U.S. The results also indicate that unbi - asedness holds only in the case of forward exchange markets of Malaysia and Singapore relative to Japan not only when these markets are examined in iso - lation from other Asian markets but also in a joint system they constitute.

Keywords: Multi-Market; Unbiasedness (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 1997
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