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