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
|HTML Citation||EndNote||Dublin Core||Reference Manager|
Full text not available from this archive.
Official URL: http://www.theibfr.com/ijbfr.htm
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.
|Item Type:||Article (Commonwealth Reporting Category C)|
|Additional Information:||Permanent restricted access to paper due to publisher's copyright restrictions.|
|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 Ecomonic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900101 Finance Services|
|Deposited On:||11 Jan 2011 14:19|
|Last Modified:||11 Jan 2013 12:32|
Archive Staff Only: edit this record