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BUSINESS AND ECONOMICS RESEARCH JOURNAL

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Makale Bilgileri
Dergi: İşletme ve Ekonomi Araştırmaları Dergisi
Makalenin Başlığı: An Empirical Test of Efficiency of Exchange-Traded Currency Options in India
Yazar(lar):  Aparna Bhat, Kirti Arekar
Cilt: 6
Sayı: 4
Yıl: 2015
Sayfa: 1-17
ISSN: 1309-2448
Öz
The objective of this paper is to examine efficiency of the exchange-traded currency options market in India. Put-call-futures parity for the USD-INR currency options is studied by analyzing daily closing prices of options and futures for thirty two months on the National Stock Exchange. The study reveals frequent violations of the put-call-futures parity creating significant arbitrage opportunities. The pattern of mispricing varies when examined for time to maturity, option moneyness, liquidity and volatility of the underlying asset. These observations are consistent with those of studies of other young markets.
Anahtar Kelimeler: Put-call parity, efficient markets, currency options
JEL Sınıflandırması: G13, G14

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