Testing the Informational Efficiency of OTC Options on Emerging Market Currencies
Title | Testing the Informational Efficiency of OTC Options on Emerging Market Currencies PDF eBook |
Author | Jorge A. Chan-Lau |
Publisher | |
Pages | 34 |
Release | 2003 |
Genre | Currency question |
ISBN |
Testing the Information Efficiency of OTC Options on Emerging Market Currency
Title | Testing the Information Efficiency of OTC Options on Emerging Market Currency PDF eBook |
Author | J. Chan-Lau |
Publisher | |
Pages | |
Release | 2003 |
Genre | |
ISBN |
IMF Working Paper
Title | IMF Working Paper PDF eBook |
Author | |
Publisher | |
Pages | 0 |
Release | 2003 |
Genre | |
ISBN |
Testing the Informational Efficiency of OTC Options on Emerging Market Currencies
Title | Testing the Informational Efficiency of OTC Options on Emerging Market Currencies PDF eBook |
Author | Armando Méndez Morales |
Publisher | INTERNATIONAL MONETARY FUND |
Pages | 24 |
Release | 2003-01-01 |
Genre | |
ISBN | 9781451841657 |
This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than mature markets possibly because of higher relative participation of informed dedicated investors, which offset the effects of relative illiquidity and higher transaction costs in these countries. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting volatility increases reflecting one-sided markets.
Discriminatory Pricing of Over-the-Counter Derivatives
Title | Discriminatory Pricing of Over-the-Counter Derivatives PDF eBook |
Author | Hau Harald |
Publisher | International Monetary Fund |
Pages | 45 |
Release | 2019-05-07 |
Genre | Business & Economics |
ISBN | 1498303773 |
New regulatory data reveal extensive price discrimination against non-financial clients in the FX derivatives market. The client at the 90th percentile pays an effective spread of 0.5%, while the bottom quarter incur transaction costs of less than 0.02%. Consistent with models of search frictions in over-the-counter markets, dealers charge higher spreads to less sophisticated clients. However, price discrimination is eliminated when clients trade through multi-dealer request-for-quote platforms. We also document that dealers extract rents from captive clients and market opacity, but only for contracts negotiated bilaterally with unsophisticated clients.
A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Ninth Edition)
Title | A Random Walk Down Wall Street: The Time-Tested Strategy for Successful Investing (Ninth Edition) PDF eBook |
Author | Burton G. Malkiel |
Publisher | W. W. Norton & Company |
Pages | 454 |
Release | 2007-12-17 |
Genre | Business & Economics |
ISBN | 0393330338 |
Updated with a new chapter that draws on behavioral finance, the field that studies the psychology of investment decisions, the bestselling guide to investing evaluates the full range of financial opportunities.
IMF Research Bulletin
Title | IMF Research Bulletin PDF eBook |
Author | |
Publisher | |
Pages | 218 |
Release | 2004 |
Genre | International finance |
ISBN |