The paper uses an efficiency specification model of the spot and forward foreign exchange markets and tests the random walk, the general efficiency, and the unbiasedness hypotheses by utilizing a regression estimation and many different specification and diagnostic tests for the series and the error terms. The paper discusses the important aspects of efficiency, expectations, and risk in the foreign exchange market. First a brief presentation of the existing single-equation structural models of exchange-rate determination is given. An efficiency specification model of the spot and forward foreign exchange markets applied to test the random walk, the general efficiency, and the unbiasedness hypotheses. The model is examined by employing time series analysis to test for the absence of the long run equilibrium or cointegration relationships. The existence of either one would imply a direct violation of the Efficient Market Hypothesis in a speculative efficient market (Granger, 1986). In this study we addressed the efficiency of Germany's, Holland's and Belgium's foreign exchange markets. The random walk hypothesis has been failed to be rejected. However, Belgium's spot rate follows a random walk but their variances are not constant. On the other hand, cointegration found to be present for all the countries tested in this research. The empirical results also showed that Belgium's market efficiency is questionable.