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Inferring Market Expectations Using Currency Option Price And Volume Data

In: Currency Options And Exchange Rate Economics

Author

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  • Zhaohui Chen

    (International Monetary Fund and Centre for Economic Policy Research, UK)

  • Charles A. E. Goodhart

    (London School of Economics, USA)

Abstract

The following sections are included:IntroductionAn Alternative Way to Infer Market ExpectationsWhat is wrong with UIP?Information from the currency option marketSome Empirical EvidenceWas the fall of the pound anticipated?The information contents of option trading dataConcluding RemarksReferences

Suggested Citation

  • Zhaohui Chen & Charles A. E. Goodhart, 1998. "Inferring Market Expectations Using Currency Option Price And Volume Data," World Scientific Book Chapters, in: Zhaohui Chen (ed.), Currency Options And Exchange Rate Economics, chapter 10, pages 183-196, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812551_0010
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    Citations

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    Cited by:

    1. Chan, Kam C. & Chang, Yuanchen & Lung, Peter P., 2009. "Informed trading under different market conditions and moneyness: Evidence from TXO options," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 189-208, April.
    2. Carl R. Chen & Peter P. Lung & Nicholas S.P. Tay, 2005. "Information flow between the stock and option markets: Where do informed traders trade?," Review of Financial Economics, John Wiley & Sons, vol. 14(1), pages 1-23.
    3. Chen, Carl R. & Lung, Peter P. & Tay, Nicholas S. P., 2005. "Information flow between the stock and option markets: Where do informed traders trade?," Review of Financial Economics, Elsevier, vol. 14(1), pages 1-23.

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