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
Abstract
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/School / Institute/Centre: | Historic - Faculty of Business - School of Accounting, Economics and Finance (1 Apr 2007 - 31 Dec 2010) |
| Faculty/School / Institute/Centre: | Historic - Faculty of Business - School of Accounting, Economics and Finance (1 Apr 2007 - 31 Dec 2010) |
| 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 (2008): | 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 |
| Fields of Research (2020): | 35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3502 Banking, finance and investment > 350202 Finance 38 ECONOMICS > 3801 Applied economics > 380110 International economics 38 ECONOMICS > 3803 Economic theory > 380302 Macroeconomic theory |
| Socio-Economic Objectives (2008): | 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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