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
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