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dc.contributor.authorHoque, Mohammed
dc.contributor.authorChan, Felix
dc.contributor.authorManzur, Meher
dc.identifier.citationHoque, Mohammed and Chan, Felix and Manzur, Meher. 2008. Efficiency of the foreign currency options market. Global Finance Journal. 19 (2): pp. 157-170.

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.publisherElsevier BV, North-Holland
dc.titleEfficiency of the foreign currency options market
dc.typeJournal Article
dcterms.source.titleGlobal Finance Journal

The link to the journal’s home page is: Copyright © 2008 Elsevier B.V. All rights reserved

curtin.accessStatusFulltext not available
curtin.facultyCurtin Business School
curtin.facultySchool of Economics and Finance

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