Hoque, Ariful (2010) World currency options market efficiency. Banks and Bank Systems, 5 (2). pp. 173-178. ISSN 1816-7403
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Official URL: http://www.businessperspectives.org/journals_free/bbs/BBS_en_2010_2(cont.)_Hoque.pdf
Abstract
The World Currency Options (WCO) began in July 2007 on the Philadelphia Stock Exchange (PHLX) with the new features. These options are designed for monthly maturity with smaller contract size than the existing currency option contract which matures quarterly. As a result, the volume of trading has soared, increasing the efficiency of option prices. The objective of this study is to analyse the early stage performance of WCO market. We adapt the no-arbitrage put-call parity (PCP) relationship based econometric approach with accommodating all potential time series problem to examine the WCO market efficiency. The overall results strongly suggest that WCO market is efficient even though it is young and in the settling curve.
| Item Type: | Article (Commonwealth Reporting Category C) |
|---|---|
| Additional Information: | Published version deposited in accordance with the copyright policy of the publisher. |
| Uncontrolled Keywords: | world currency options; put-call parity; unit root; serial correlation; ARCH |
| Fields of Research (FOR2008): | 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance 14 Economics > 1402 Applied Economics > 140210 International Economics and International Finance 14 Economics > 1401 Economic Theory > 140102 Macroeconomic Theory |
| Subjects: | UNSPECIFIED |
| Socio-Economic Objective (SEO2008): | B Ecomonic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900101 Finance Services |
| ID Code: | 8766 |
| Deposited By: | |
| Deposited On: | 18 Oct 2010 21:53 |
| Last Modified: | 06 Feb 2012 11:20 |
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