The efficient market hypothesis for the Canadian foreign exchange market is tested using monthly data on spot and forward exchange rates from January 1973 to October 1995. Unlike most previous studies, we have estimated a transfer function model which combines the results of the univariate time series models with those of the regression model. Following the convention, equations derived from the market efficiency models have been used in both level and change specifications. Like many previous studies, the results from the transfer function model have failed to provide evidence in support of the efficient market hypothesis. These findings suggest that significant arbitraging opportunities existed in the Canadian foreign during the period under study.