World currency options market efficiency

Article

Hoque, Ariful. 2010. "World currency options market efficiency." Banks and Bank Systems. 5 (2), pp. 173-178.
Article Title

World currency options market efficiency

ERA Journal ID31194
Article CategoryArticle
Authors
AuthorHoque, Ariful
Journal TitleBanks and Bank Systems
Journal Citation5 (2), pp. 173-178
Number of Pages6
Year2010
PublisherLLC CPC Business Perspectives
Place of PublicationSumy, Ukraine
ISSN1816-7403
1991-7074
Web Address (URL)http://www.businessperspectives.org/journals_free/bbs/BBS_en_2010_2(cont.)_Hoque.pdf
Abstract

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.

Keywordsworld currency options; put-call parity; unit root; serial correlation; ARCH
ANZSRC Field of Research 2020350202. Finance
380110. International economics
380302. Macroeconomic theory
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Byline AffiliationsSchool of Accounting, Economics and Finance
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