This paper investigates the efficiency of Australian options market using a version of the Black-Scholes model. Under the joint null hypothesis that the pricing model is valid, and that forecasts are efficient, the implied volatilities calculated from observed.option prices should be efficient predictors of squared changes in the prices of the underlying securities on which the options are written. This hypothesis is tested using weekly data on prices of Australian financial futures options, and over-the-counter options in the Australian dollar/U.S. dollar currency market. The results indicate significant forecasting biases for each of the contracts studied. In each case, movements in implied volatilities appear to overstate changes in the true volatility of underlying prices. Copyright 1992 by Blackwell Publishing Ltd
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Volume (Year): 54 (1992) Issue (Month): 4 (November) Pages: 567-78 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Related research
Keywords:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)