Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies:
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Bibliographische Detailangaben
Beteilige Person: Chan-Lau, Jorge A. (VerfasserIn)
Format: Elektronisch E-Book
Sprache:Englisch
Veröffentlicht: Washington, D.C International Monetary Fund 2003
Schriftenreihe:IMF Working Papers Working Paper No. 03/1
Links:http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml
Abstract: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
Umfang:1 Online-Ressource (32 p)
ISBN:1451841655
9781451841657