In our paper, we have tested the theory of Unbiased Hypothesis (UH) in foreign exchange market in both short run and long run equilibrium. A comparative analysis has been done between developed currencies (CAD, CHF, JPY) and developing currencies (INR, ZAR, MYR) in this paper. We have examined different econometric procedures like unit root tests, cointegration analysis and error correction model. In our paper, it has been shown that ECM is the best economic procedure to test UH in foreign exchange market. In all currencies, there is dramatic deviation from UH. As UH in foreign exchange market requires the market to be efficient, so we have further conducted filter strategy to test the efficiency of the foreign exchange market. The pattern of the profit from filter strategy shows that speculators can gain more profit in managed floating exchange rate regime than independent floating exchange rate regime in our study. This higher profit made by the speculators in managed (dirty) floating exchange rate regime may represent the loss made by central bank while ''leaning against the wind'' during intervention. We conclude this paper by explaining that central bank intervention can be one of the potential causes for the deviation of UH in foreign exchange market.