TY - JOUR
T1 - The trading volume of currency options and the spot exchange rate
AU - Machnes, Yaffa
PY - 2006/5
Y1 - 2006/5
N2 - This paper estimates the interrelation between the spot exchange rate of the Israeli currency, the new Israeli shekel, to the U.S. dollar, and the trading volumes of put and call options on the U.S. dollar in the Tel Aviv Stock Exchange. An increase in the trading volume of calls is positively correlated with an increase in the spot exchange rate of the dollar on the same day and the following day, but with a lower coefficient. Similarly, an increase in the trading volume of puts is related to a decrease in the spot price of the dollar on the same day of trade, with a smaller effect on the following day.
AB - This paper estimates the interrelation between the spot exchange rate of the Israeli currency, the new Israeli shekel, to the U.S. dollar, and the trading volumes of put and call options on the U.S. dollar in the Tel Aviv Stock Exchange. An increase in the trading volume of calls is positively correlated with an increase in the spot exchange rate of the dollar on the same day and the following day, but with a lower coefficient. Similarly, an increase in the trading volume of puts is related to a decrease in the spot price of the dollar on the same day of trade, with a smaller effect on the following day.
KW - Currency options
KW - Exchange rate
KW - Trade volume
UR - http://www.scopus.com/inward/record.url?scp=33745817022&partnerID=8YFLogxK
U2 - 10.2753/ree1540-496x420305
DO - 10.2753/ree1540-496x420305
M3 - ???researchoutput.researchoutputtypes.contributiontojournal.article???
AN - SCOPUS:33745817022
SN - 1540-496X
VL - 42
SP - 91
EP - 97
JO - Emerging Markets Finance and Trade
JF - Emerging Markets Finance and Trade
IS - 3
ER -