1 option
Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies / Jorge Chan-Lau, Armando Méndez Morales.
- Format:
- Book
- Government document
- Author/Creator:
- Chan-Lau, Jorge.
- Series:
- IMF Working Papers; Working Paper ; No. 2003/001
- IMF Working Papers
- Language:
- English
- Physical Description:
- 1 online resource (32 pages)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2003.
- Language Note:
- English
- Summary:
- 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.
- Notes:
- Bibliographic Level Mode of Issuance: Monograph
- Description based on print version record.
- ISBN:
- 9786613783851
- 9781462301683
- 1462301681
- 9781452711973
- 1452711976
- 9781281603166
- 1281603163
- 9781451890143
- 1451890141
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