文章基本信息

标题：World currency options market efficiency
本地全文：下载
作者：Ariful Hoque
期刊名称：Banks and Bank Systems
印刷版ISSN：1816-7403
电子版ISSN：1991-7074
出版年度：2010
卷号：5
期号：2
页码：173-178
语种：English
出版社：LLC "CPC "Business Perspectives"
摘要：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 effi ciency 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.
关键词：world currency options;put-call parity;unit root;serial correlation;ARCH