Speculative Efficiency and the Exchange Rate: Some Evidence Since the Float

This paper considers whether the speculative efficiency hypothesis holds in the foreign exchange market since the floating of the Australian dollar in December 1983. For the post-float period as a whole, the speculative efficiency hypothesis can be rejected in the 30-day market but not in the 15-day or 90-day markets. Evidence of a structural change in the market in February 1985—the time of the first major depreciation - was also found.