Efficiency of the foreign currency options market
| dc.contributor.author | Hoque, Mohammed | |
| dc.contributor.author | Chan, Felix | |
| dc.contributor.author | Manzur, Meher | |
| dc.date.accessioned | 2017-01-30T12:09:27Z | |
| dc.date.available | 2017-01-30T12:09:27Z | |
| dc.date.created | 2010-05-18T20:03:05Z | |
| dc.date.issued | 2008 | |
| dc.identifier.citation | Hoque, Mohammed and Chan, Felix and Manzur, Meher. 2008. Efficiency of the foreign currency options market. Global Finance Journal. 19 (2): pp. 157-170. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/18699 | |
| dc.identifier.doi | 10.1016/j.gfj.2008.02.002 | |
| dc.description.abstract |
This paper provides a new test of the efficiency of the currency option markets for four major cyrrencies -British Pound, Euro, Swiss Frank and Japanese Yen vis-a-vis the U.S. dollar. The approach is to simulate trading strategies to see if the well accepted no-arbitrage condition of put-call parity (PCP) holds in a trading environment. Augmented Dickey-Fuller and Philips-Perron test are used to check for the presence of unit root in the data, followed by a formal econometric analysis. The results indicate that the most currency option prices do not violate the PCP conditions, when transaction costs are allowed for. | |
| dc.publisher | Elsevier BV, North-Holland | |
| dc.title | Efficiency of the foreign currency options market | |
| dc.type | Journal Article | |
| dcterms.source.volume | 19 | |
| dcterms.source.startPage | 157 | |
| dcterms.source.endPage | 170 | |
| dcterms.source.issn | 10440283 | |
| dcterms.source.title | Global Finance Journal | |
| curtin.note |
The link to the journal’s home page is: | |
| curtin.accessStatus | Fulltext not available | |
| curtin.faculty | Curtin Business School | |
| curtin.faculty | School of Economics and Finance |