World currency options market efficiency

Hoque, Ariful (2010) World currency options market efficiency. Banks and Bank Systems, 5 (2). pp. 173-178. ISSN 1816-7403

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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.

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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Published version deposited in accordance with the copyright policy of the publisher.
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 18 Oct 2010 11:53
Last Modified: 03 Jul 2013 00:03
Uncontrolled Keywords: world currency options; put-call parity; unit root; serial correlation; ARCH
Fields of Research : 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
Socio-Economic Objective: B Economic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900101 Finance Services

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