Put-call parity econometric model for currency options market efficiency tests
Article
Article Title | Put-call parity econometric model for currency options market efficiency tests |
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ERA Journal ID | 211566 |
40538 | |
Article Category | Article |
Authors | |
Author | Hoque, Ariful |
Journal Title | Academy of Taiwan Business Management Review |
Academy of Taiwan Business Management Revie | |
Journal Citation | 6 (2), pp. 84-91 |
Number of Pages | 18 |
Year | 2010 |
Publisher | Taiwan Institute of Business Administration |
Place of Publication | Taiwan |
ISSN | 1813-0534 |
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. |
Keywords | currency trading; world currency options; put-call parity econometric model |
ANZSRC Field of Research 2020 | 350202. Finance |
380110. International economics | |
380302. Macroeconomic theory | |
Public Notes | Copyright Taiwan Institute of Business Administration. |
Byline Affiliations | School of Accounting, Economics and Finance |
https://research.usq.edu.au/item/q00yx/put-call-parity-econometric-model-for-currency-options-market-efficiency-tests
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