While prior studies have shown that emission rights and futures contracts on emission rights are efficiently priced, there are no studies on the efficiency of the options market. Therefore, this study fills the gap. We examine empirical evidence regarding the efficiency of the options market for...

Purpose – The purpose of this paper is to introduce a model to measure foreign exchange (FX) rate volatility accurately. The FX rate volatility forecasting is a crucial endeavour in financial markets and has gained the attention of researchers and practitioners over the last several decades....

There is agreement regarding the fundamental role of transaction costs in determining currency options market efficiency. However, the estimation of transaction costs in this relationship is controversial. In this study, a bootstrapping approach is adapted to decompose the error term of the...

This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed...

This paper provides a new test of the efficiency of the currency option markets for four major currencies -- British Pound, Euro, Swiss Frank and Japanese Yen vis-à-vis the U.S. dollar. The approach is to simulate trading strategies to see if the well-accepted no-arbitrage condition of put-call...

We analyse the impact of firm-level corporate governance practices on the riskiness of a firm’s stock returns in a setting that can be considered as less conducive to managerial risk-taking. Our empirical evidence, based on a comprehensive sample of New Zealand firms, shows that firms...

In this paper we bring together agency stakeholder institutional and resource-dependence theories to study the direct and interactive effects of country regulation and competition on two dimensions of corporate governance: the overall quality of corporate governance of firms in a country and...

Purpose –The purpose of this paper is to analyze the impact of firm-level corporate governance practices on the riskiness of a firm's stock returns. Design/methodology/approach -The authors constructed an index of governance quality incorporating best practices stipulated by regulators. The...

Australian companies pay dividends semi-annually with smaller “interim” payments and larger “final” payments. Interim dividends are declared and paid within a less full information environment than final dividends. We analyze the interactions between the timing of dividends and their...