Put-call parity econometric model for currency options market efficiency tests

Hoque, Ariful (2010) Put-call parity econometric model for currency options market efficiency tests. Academy of Taiwan Business Management Review , 6 (2). pp. 84-91. ISSN 1813-0534

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A new era in currency trading began in July 2007 with the launching of World Currency Options (WCO). The aim of this paper is to provide new evidence of the WCO market’s efficiency based on the no-arbitrage put-call parity (PCP) relationship. This study adapts the PCP relationship-compatible econometric approach to conquer the weaknesses of the traditional method for analyzing the validity of PCP. The overall findings of this paper imply that the WCO market is efficient even though it is in the settling curve, which will motivate market participants, including novice investors, to trade currency options for different purposes.

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Item Type: Article (Commonwealth Reporting Category C)
Refereed: Yes
Item Status: Live Archive
Additional Information: Copyright Taiwan Institute of Business Administration.
Faculty / Department / School: Historic - Faculty of Business - School of Accounting, Economics and Finance
Date Deposited: 22 Oct 2010 03:12
Last Modified: 03 Jul 2013 00:03
Uncontrolled Keywords: currency trading; world currency options; put-call parity econometric model
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 > 91 Economic Framework > 9101 Macroeconomics > 910109 Savings and Investments
URI: http://eprints.usq.edu.au/id/eprint/8767

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