Verfügbarkeit: Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies:

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 m...

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1. Verfasser:	Chan-Lau, Jorge A. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2003
Schriftenreihe:	IMF Working Papers Working Paper No. 03/1
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (32 p)
ISBN:	1451841655 9781451841657

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spelling	Chan-Lau, Jorge A. Verfasser aut Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies Chan-Lau, Jorge A Washington, D.C International Monetary Fund 2003 1 Online-Ressource (32 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 03/1 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 Online-Ausg Méndez Morales, Armando Sonstige oth http://elibrary.imf.org/view/IMF001/06763-9781451841657/06763-9781451841657/06763-9781451841657.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Chan-Lau, Jorge A. Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
title	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
title_auth	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
title_exact_search	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
title_exact_search_txtP	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
title_full	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies Chan-Lau, Jorge A
title_fullStr	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies Chan-Lau, Jorge A
title_full_unstemmed	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies Chan-Lau, Jorge A
title_short	Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
title_sort	testing the informational efficiency of otc optionson emerging market currencies
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