摘要：This study explores the presence of risk premium in the Indian currency futures market. We reject the null hypothesis of the futures rate being an unbiased predictor of the future spot rate and the difference between the two has been explained by the risk premium. The risk premium for all currencies is found to be positive and significantly different from zero and appears to be related to the current spot rate, the basis and the standard deviation of the current spot rate. Further, the robustness tests also confirm the presence of the risk premium in the currency futures market.
