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
Public Notes

File reproduced in accordance with the copyright policy of the publisher/author.

Byline AffiliationsSchool of Accounting, Economics and Finance
Permalink -

https://research.usq.edu.au/item/q00yv/world-currency-options-market-efficiency

Download files


Published Version
Hoque_BBS_2010_PV.pdf
File access level: Anyone

  • 2039
    total views
  • 195
    total downloads
  • 2
    views this month
  • 1
    downloads this month

Export as

Related outputs

Does CIA occur during financial turbulence?
Hoque, Ariful, Hassan, Kamrul and Krishnamurti, Chandrasekhar. 2015. "Does CIA occur during financial turbulence?" Academy of Taiwan Business Management Review. 11 (1), pp. 18-20.
A proposed solution for the chicken-egg dilemma in pricing currency options
Hoque, Ariful and Krishnamurti, Chandrasekhar. 2013. "A proposed solution for the chicken-egg dilemma in pricing currency options." Australasian Accounting Business and Finance Journal. 7 (2), pp. 71-86. https://doi.org/10.14453/aabfj.v7i2.6
Determinants of the strength of accounting and reporting standards: A cross-country study
Boolaky, Pran Kishansing, Krishnamurti, Chandrasekhar and Hoque, Ariful. 2013. "Determinants of the strength of accounting and reporting standards: A cross-country study." Australasian Accounting Business and Finance Journal. 7 (4), pp. 17-36. https://doi.org/10.14453/aabfj.v7i4.3
Modeling moneyness volatility in measuring exchange rate volatility
Hoque, Ariful and Krishnamurti, Chandrasekhar. 2012. "Modeling moneyness volatility in measuring exchange rate volatility ." International Journal of Managerial Finance. 8 (4), pp. 365-380. https://doi.org/10.1108/17439131211261279
Development and calibration of bio-kinetic model for surfactant biodegradation with combined respirometric and titrimetric measurements
Aravinthan, V. and Hoque, M. A.. 2011. "Development and calibration of bio-kinetic model for surfactant biodegradation with combined respirometric and titrimetric measurements." Bioresource Technology. 102 (9), pp. 5504-5513. https://doi.org/10.1016/j.biortech.2010.08.101
Combined titrimetric respirometer as a real-time sensor to monitor the aerobic biodegradation process of different substrates
Hoque, M. A., Aravinthan, V., Pradhan, N. M. and Sakhiya, A.. 2011. "Combined titrimetric respirometer as a real-time sensor to monitor the aerobic biodegradation process of different substrates." Journal of Applied Sciences. 11 (13), pp. 2299-2305. https://doi.org/10.3923/jas.2011.2299.2305
Development and calibration of bio-kinetic models for organic carbon and nitrogen biodegradation in an aerobic activated sludge system
Hoque, Muhammad A.. 2010. Development and calibration of bio-kinetic models for organic carbon and nitrogen biodegradation in an aerobic activated sludge system. PhD Thesis Doctor of Philosophy. University of Southern Queensland.
Efficiency of European emissions markets: lessons and implications
Krishnamurti, Chandrasekhar and Hoque, Ariful. 2011. "Efficiency of European emissions markets: lessons and implications." Energy Policy. 39 (10), pp. 6575-6582. https://doi.org/10.1016/j.enpol.2011.07.062
Modeling moneyness volatility in measuring exchange rate volatility
Hoque, Ariful and Krishnamurti, Chandrasekhar. 2011. "Modeling moneyness volatility in measuring exchange rate volatility." CIFEr 2011: IEEE Symposium on Computational Intelligence for Financial Engineering and Economics . Paris, France 11 - 15 Apr 2011 Piscataway, NJ. United States. https://doi.org/10.1109/CIFER.2011.5953555
Corporate capital structure and firm performance: evidence from Bangladesh
Rashid, Afzalur and Hoque, Ariful. 2011. "Corporate capital structure and firm performance: evidence from Bangladesh." Academy of Taiwan Business Management Review. 7 (2), pp. 59-72.
Modeling urea biodegradation in activated sludge using combined respirometric-titrimetric measurements
Hoque, Muhammad Azizul and Aravinthan, Vasantha. 2011. "Modeling urea biodegradation in activated sludge using combined respirometric-titrimetric measurements." Desalination and Water Treatment. 32 (1-3), pp. 115-125. https://doi.org/10.5004/dwt.2011.2686
Influence of transaction costs on foreign exchange option contracts: intra-daily tests
Hoque, Ariful, Manzur, Meher and Poitras, Geoffrey. 2010. "Influence of transaction costs on foreign exchange option contracts: intra-daily tests." International Journal of Banking and Finance. 7 (2), pp. 1-18.
Is implied volatility sensitive to the choice of currency options maturity period?
Hoque, Ariful. 2010. "Is implied volatility sensitive to the choice of currency options maturity period?" Academy of Taiwan Business Management Review. 6 (3), pp. 102-109.
Transaction cost discovery by decomposition of the error term: a bootstrapping approach
Hoque, Ariful. 2011. "Transaction cost discovery by decomposition of the error term: a bootstrapping approach." The International Journal of Business and Finance Research. 5 (1), pp. 113-121.
Essays in foreign currency options markets
Hoque, Ariful. 2010. Essays in foreign currency options markets. Saarbrücken, Germany. VDM Verlag Dr. Muller.
Put-call parity, transactions costs and PHLX currency options: intra-daily tests
Hoque, Ariful, Manzur, Meher and Poitras, Geoffrey. 2010. "Put-call parity, transactions costs and PHLX currency options: intra-daily tests." MFA 2010: 59th Midwest Finance Association Annual Conference. Las Vegas, United States 24 - 27 Feb 2010 Kearney, NE. USA.
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.
Cause-and-effect between implied volatility and options price
Hoque, Ariful. 2010. "Cause-and-effect between implied volatility and options price." Academy of Taiwan Business Management Review. 6 (3), pp. 111-117.
Econometric modeling for transaction cost-adjusted put-call parity: evidence from the currency options market
Hoque, Ariful. 2010. "Econometric modeling for transaction cost-adjusted put-call parity: evidence from the currency options market." International Research Journal of Finance and Economics.
Currency option pricing and realized volatility
Manzur, Meher, Hoque, Ariful and Poitras, Geoffrey. 2010. "Currency option pricing and realized volatility." Banking and Finance Review. 2 (1), pp. 73-86.
Calibration of biokinetic model for acetate biodegradation using combined respirometric and titrimetric measurements
Hoque, M. A., Aravinthan, V. and Pradhan, N. M.. 2010. "Calibration of biokinetic model for acetate biodegradation using combined respirometric and titrimetric measurements." Bioresource Technology. 101 (5), pp. 1426-1434. https://doi.org/10.1016/j.biortech.2009.07.012
Can we decode the messages of activated sludge through the respirograms?
Hoque, Muhammad A., Aravinthan, Vasantha and Pradhan, Nishant M.. 2009. "Can we decode the messages of activated sludge through the respirograms?" Water, Air and Soil Pollution: an international journal of environmental pollution. 9 (5/6), pp. 449-459. https://doi.org/10.1007/s11267-009-9238-6
Modeling volatility in foreign currency option pricing
Hoque, Ariful, Chan, Felix and Manzur, Meher. 2009. "Modeling volatility in foreign currency option pricing." Multinational Finance Journal. 13 (1/2), pp. 181-200.
Efficiency of the foreign currency options market
Hoque, Ariful, Chan, Felix and Manzur, Meher. 2008. "Efficiency of the foreign currency options market." Global Finance Journal. 19 (2), pp. 157-170. https://doi.org/10.1016/j.gfj.2008.02.002
Assessment on activated sludge models for acetate biodegradation under aerobic conditions
Hoque, M. A., Aravinthan, V. and Pradhan, N. M.. 2009. "Assessment on activated sludge models for acetate biodegradation under aerobic conditions." Water Science and Technology. 60 (4), pp. 983-994. https://doi.org/10.2166/wst.2009.446
Evaluation of simultaneous storage and growth model to explain aerobic biodegradation of acetate
Hoque, M. A., Aravinthan, V. and Pradhan, N. M.. 2008. "Evaluation of simultaneous storage and growth model to explain aerobic biodegradation of acetate." ISBT 2008: 1st International Society of BioTechnology Conference. Gangtok, India 28 - 30 Dec 2008 Indore, India.
Respirometric and titrimetric techniques for monitoring aerobic biodegradation of surfactant
Hoque, M. A., Aravinthan, V. and Porter, M.. 2008. "Respirometric and titrimetric techniques for monitoring aerobic biodegradation of surfactant." ISBT 2008: 1st International Society of BioTechnology Conference. Gangtok, India 28 - 30 Dec 2008 Indore, India.