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Foreign exchange options markets inefficiency:The abnormal profits generated by an implied volatility based rule

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  • Clyde, William C.
  • Gislason, James

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  • Clyde, William C. & Gislason, James, 1995. "Foreign exchange options markets inefficiency:The abnormal profits generated by an implied volatility based rule," Global Finance Journal, Elsevier, vol. 6(1), pages 9-24.
    • Handle: RePEc:eee:glofin:v:6:y:1995:i:1:p:9-24
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    References listed on IDEAS

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    1. Johnson, Larry J, 1986. "Foreign-Currency Options, Ex Ante Exchange-Rate Volatility, and Market Efficiency: An Empirical Test," The Financial Review, Eastern Finance Association, vol. 21(4), pages 433-450, November.
    2. Merville, Larry J. & Pieptea, Dan R., 1989. "Stock-price volatility, mean-reverting diffusion, and noise," Journal of Financial Economics, Elsevier, vol. 24(1), pages 193-214, September.
    3. Shastri, Kuldeep & Tandon, Kishore, 1986. "Valuation of Foreign Currency Options: Some Empirical Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(2), pages 145-160, June.
    4. LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
    5. Figlewski, Stephen, 1989. " Options Arbitrage in Imperfect Markets," Journal of Finance, American Finance Association, vol. 44(5), pages 1289-1311, December.
    6. Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
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    Cited by:

    1. Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022. "The information content of ETF options," Global Finance Journal, Elsevier, vol. 53(C).

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