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 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.
IMF Working Paper
Title | IMF Working Paper PDF eBook |
Author | |
Publisher | |
Pages | 0 |
Release | 2003 |
Genre | |
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 Research Bulletin
Title | IMF Research Bulletin PDF eBook |
Author | |
Publisher | |
Pages | 218 |
Release | 2004 |
Genre | International finance |
ISBN |
IMF Survey
Title | IMF Survey PDF eBook |
Author | International Monetary Fund |
Publisher | |
Pages | 432 |
Release | 2003 |
Genre | International finance |
ISBN |
Publications Catalog
Title | Publications Catalog PDF eBook |
Author | International Monetary Fund |
Publisher | |
Pages | 128 |
Release | 2004 |
Genre | International finance |
ISBN |