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Conditional volatility and the informational efficiency of the PHLX currency options market

โœ Scribed by Xinzhong Xu; Stephen J. Taylor


Book ID
116134982
Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
941 KB
Volume
19
Category
Article
ISSN
0378-4266

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Empirical tests of the efficiency of the
โœ Joseph P. Ogden; Alan L. Tucker ๐Ÿ“‚ Article ๐Ÿ“… 1987 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 425 KB ๐Ÿ‘ 1 views

his study investigates empirically the efficiency of the currency futures T options market, Synchronous transactions data are used to test six arbitrage pricing conditions applicable to American futures options. Results support market efficiency for the period studied; few violations of these condit