{"id":3135,"date":"2015-12-20T02:19:35","date_gmt":"2015-12-20T00:19:35","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=3135"},"modified":"2015-12-20T02:19:35","modified_gmt":"2015-12-20T00:19:35","slug":"an-empirical-test-of-efficiency-of-exchange-traded-currency-options-in-india","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/an-empirical-test-of-efficiency-of-exchange-traded-currency-options-in-india","title":{"rendered":"An Empirical Test of Efficiency of Exchange-Traded Currency Options in India"},"content":{"rendered":"\n\n\n\n
Makale Bilgileri<\/td>\n<\/tr>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Dergi:<\/td>\n\u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nAn Empirical Test of Efficiency of Exchange-Traded Currency Options in India<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\n\u00a0Aparna Bhat,\u00a0Kirti Arekar<\/td>\n<\/tr>\n
Cilt:<\/td>\n6<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n4<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2015<\/td>\n<\/tr>\n
Sayfa:<\/td>\n1-17<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
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.<\/td>\n<\/tr>\n
\n\n\n\n\n
Anahtar Kelimeler:<\/td>\nPut-call parity, efficient markets, currency options<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\n\n\n\n
JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG13, G14<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi: \u0130\u015fletme ve Ekonomi Ara\u015ft\u0131rmalar\u0131 Dergisi Makalenin Ba\u015fl\u0131\u011f\u0131: An Empirical Test of Efficiency of Exchange-Traded Currency Options in India Yazar(lar): \u00a0Aparna Bhat,\u00a0Kirti Arekar Cilt: 6 Say\u0131: 4 Y\u0131l: 2015 Sayfa: 1-17 ISSN: 1309-2448 \u00d6z The objective of this paper is to examine efficiency of the exchange-traded currency options market in India. Put-call-futures parity […]<\/p>\n

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