The coefficient of variation is an effect size measure with many potential uses in psychology and related disciplines. We propose a general theory for a sequential estimation of the population coefficient of variation that considers both the sampling error and the study cost, importantly without specific distributional assumptions. Fixed sample size planning methods, commonly used in psychology and related fields, cannot simultaneously minimize both the sampling error and the study cost. The sequential procedure we develop is the first sequential sampling procedure developed for estimating the coefficient of variation. We first present a method of planning a pilot sample size after the research goals are specified by the researcher. Then, after collecting a sample size as large as the estimated pilot sample size, a check is performed to assess whether the conditions necessary to stop the data collection have been satisfied. If not an additional observation is collected and the check is performed again. This process continues, sequentially, until a stopping rule involving a risk function is satisfied. Our method ensures that the sampling error and the study costs are considered simultaneously so that the cost is not higher than necessary for the tolerable sampling error. We also demonstrate a variety of properties of the distribution of the final sample size for five different distributions under a variety of conditions with a Monte Carlo simulation study. In addition, we provide freely available functions via the MBESS package in R to implement the methods discussed. © 2016 Taylor & Francis Group, LLC.