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- Title
An Empirical Test of Efficiency of Exchange-Traded Currency Options in India.
- Authors
Bhat, Aparna; Arekar, Kirti
- 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, option moneyness, liquidity and volatility of the underlying asset. These observations are consistent with those of studies of other young markets.
- Subjects
INDIA; CURRENCY options; MARKET volatility; LIQUIDITY (Economics); EXCHANGE traded notes; EMPIRICAL research
- Publication
Business & Economics Research Journal, 2015, Vol 6, Issue 4, p1
- ISSN
2619-9491
- Publication type
Article