Transaction cost discovery by decomposition of the error term: a bootstrapping approach

Hoque, Ariful (2011) Transaction cost discovery by decomposition of the error term: a bootstrapping approach. The International Journal of Business and Finance Research, 5 (1). pp. 113-121. ISSN 1931-0269

Abstract

There is agreement regarding the fundamental role of transaction costs in determining currency options market efficiency. However, the estimation of transaction costs in thei relationship is controversial. In this study, a bootstrapping approach is adapted to decompose the error term of the put-call parity regression analaysis in order to estimate transaction costs. This robust transaction cost calculation will be valuable to traders and researchers as it eliminates dependence on crude proxies for transaction costs.


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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Permanent restricted access to paper due to publisher's copyright restrictions.
Depositing User: Dr Ariful Hoque
Faculty / Department / School: Historic - Faculty of Business and Law - School of Accounting, Economics and Finance
Date Deposited: 11 Jan 2011 04:19
Last Modified: 11 Sep 2014 05:14
Uncontrolled Keywords: transaction costs, error term decomposition, put-call parity, serial correlation, ARCH
Fields of Research (FOR2008): 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance
Socio-Economic Objective (SEO2008): B Economic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900101 Finance Services
URI: http://eprints.usq.edu.au/id/eprint/8762

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