Add to ORKGThe foreign currency market in a small open economy, like Israel, plays a major role in fiscal and monetary policy decisions, through its effects on the financial markets and the real economy. In this paper we explore the liquidity and efficiency in three related foreign exchange options markets and the information content of the instruments traded in these markets. The unique data set on OTC trading and the central bank auctions, in addition to the exchange traded options provide us with insights about the operation of these markets, their relative efficiency, their information content and their interrelationship. An important aspect is the effect of liquidity on the pricing of options in these markets. As expected, we find that, except fo...
One issue in the argument about the merits of pegged and floating exchange rates involves the magnit...
The thesis investigates information and liquidity provision in financial markets. I explore the impl...
This paper compares the foreign exchange hedging efficiency of forward and option currency contracts...
The foreign currency market in a small open economy, like Israel, plays a major role in fiscal and m...
The purpose of this paper is to examine the effect of illiquidity on the value of currency options. ...
The objectives of this paper are to examine the effect of liquidity on interest rate option prices, ...
We would like to thank David Afriat for technical assistance,Dror Shalit for providing the data from...
This paper examines the effects of liquidity on interest rate option prices. Using daily bid and ask...
This paper examines the effects of liquidity on interest rate option prices. Using daily bid and ask...
This dissertation investigates the economics of liquidity and price discovery in derivatives markets...
This book includes the materials from author’s PhD thesis. In the past three decades, the use of for...
We study the liquidity of the global currency market by analyzing the price impact of trading volume...
Over-the-counter (OTC) foreign exchange (FX) option market is the fourth largest derivatives market ...
The thesis examines how different aspects of market quality are affected by imperfect competition. T...
This paper explores the influence of trader (or cambio) market power in determining the foreign exch...
One issue in the argument about the merits of pegged and floating exchange rates involves the magnit...
The thesis investigates information and liquidity provision in financial markets. I explore the impl...
This paper compares the foreign exchange hedging efficiency of forward and option currency contracts...
The foreign currency market in a small open economy, like Israel, plays a major role in fiscal and m...
The purpose of this paper is to examine the effect of illiquidity on the value of currency options. ...
The objectives of this paper are to examine the effect of liquidity on interest rate option prices, ...
We would like to thank David Afriat for technical assistance,Dror Shalit for providing the data from...
This paper examines the effects of liquidity on interest rate option prices. Using daily bid and ask...
This paper examines the effects of liquidity on interest rate option prices. Using daily bid and ask...
This dissertation investigates the economics of liquidity and price discovery in derivatives markets...
This book includes the materials from author’s PhD thesis. In the past three decades, the use of for...
We study the liquidity of the global currency market by analyzing the price impact of trading volume...
Over-the-counter (OTC) foreign exchange (FX) option market is the fourth largest derivatives market ...
The thesis examines how different aspects of market quality are affected by imperfect competition. T...
This paper explores the influence of trader (or cambio) market power in determining the foreign exch...
One issue in the argument about the merits of pegged and floating exchange rates involves the magnit...
The thesis investigates information and liquidity provision in financial markets. I explore the impl...
This paper compares the foreign exchange hedging efficiency of forward and option currency contracts...