Year-end Sale % OFF 
Abstract
By identifying Emerging Asia currency option risk reversal as a behavioral variable, we find the influence of currency spot return and carry return has significant bearing in hedging patterns of foreign exchange market participants. We note that appreciation of Emerging Asia currencies in the foreign exchange spot market as well as increased carry return tend to mislead foreign exchange market participants from fully hedging their trading exposure in Emerging Asia currencies, which were notable in all 10 currencies that were analyzed, with the exception of the Chinese yuan. In the case of the Chinese yuan, foreign exchange market participants were fully hedged against changes in the currency spot return and carry return. In this study, the influence of hedging patterns was identified by using the outlying factor as a barometer in modelling hedging patterns of foreign exchange market participants, as well the correlation among currency option risk reversals, currency spot return, and carry return. <b>TOPICS:</b>Emerging, currency, options
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
