World currency options market efficiency

Hoque, A.ORCID: 0000-0001-8369-6653 (2010) World currency options market efficiency. Banks and Bank Systems, 5 (2). pp. 173-178.

Abstract

The World Currency Options (WCO) maket began trading 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 analyze 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.

Item Type:	Journal Article
Murdoch Affiliation:	Murdoch Business School
Publisher:	LLC CPC Business Perspectives
URI:	http://researchrepository.murdoch.edu.au/id/eprint/39343

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