Put-call parity econometric model for currency options market efficiency tests

Article

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.
Article Title

Put-call parity econometric model for currency options market efficiency tests

ERA Journal ID211566
40538
Article CategoryArticle
Authors
AuthorHoque, Ariful
Journal TitleAcademy of Taiwan Business Management Review
Academy of Taiwan Business Management Revie
Journal Citation6 (2), pp. 84-91
Number of Pages18
Year2010
PublisherTaiwan Institute of Business Administration
Place of PublicationTaiwan
ISSN1813-0534
Web Address (URL)http://www.jtiba.com/
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.

Keywordscurrency trading; world currency options; put-call parity econometric model
ANZSRC Field of Research 2020350202. Finance
380110. International economics
380302. Macroeconomic theory
Public Notes

Copyright Taiwan Institute of Business Administration.

Byline AffiliationsSchool of Accounting, Economics and Finance
Permalink -

https://research.usq.edu.au/item/q00yx/put-call-parity-econometric-model-for-currency-options-market-efficiency-tests

Log in to edit
  • 1908
    total views
  • 7
    total downloads
  • 2
    views this month
  • 0
    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.
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.
World currency options market efficiency
Hoque, Ariful. 2010. "World currency options market efficiency." Banks and Bank Systems. 5 (2), pp. 173-178.
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.