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http://hdl.handle.net/11718/11484| Title: | An Empirical Test of Efficiency of Exchange-traded Currency Options in India |
| Authors: | Bhat, Aparna Arekar, Kirti |
| Keywords: | put-call parity;efficient markets;currency options |
| Issue Date: | 2013 |
| Publisher: | Indian Institute of Management, Ahmedabad |
| Citation: | 3rd Biennial Conference of the Indian Academy of Management (IAM), 2013 held at IIMA during 12-14 December, 2013 |
| Abstract: | 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, moneyness of strike, liquidity and volatility of the underlying. These observations are consistent with those of studies of other young markets |
| URI: | http://hdl.handle.net/11718/11484 |
| Appears in Collections: | 3rd Biennial Conference of the Indian Academy of Management (IAM), 2013 |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| BF-PP-314-An_Empirical_Test_of_Efficiency_of_Exchange-traded_Currency_Options-390-Bhat_b.pdf | 268.37 kB | Adobe PDF | View/Open |
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