Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
By:Mr. Jorge A. Chan-Lau,Mr. Armando Méndez Morales
Published on 2003-01-01 by International Monetary Fund
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.
This Book was ranked at 12 by Google Books for keyword markets and efficiency.
Book ID of Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies's Books is FwHst8P-ptAC, Book which was written byMr. Jorge A. Chan-Lau,Mr. Armando Méndez Moraleshave ETAG "Y9FT8xtahXU"
Book which was published by International Monetary Fund since 2003-01-01 have ISBNs, ISBN 13 Code is 9781451890143 and ISBN 10 Code is 1451890141
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