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Title: | Testing for arbitrage opportunities within the foreign exchange market |
Authors: | Hussain, Imran |
Keywords: | Foreign exchange market |
Issue Date: | 2009 |
Publisher: | Bangkok University |
Abstract: | This study aims to determine whether or not arbitrage opportunities exist
within the retail foreign exchange market and how the number of opportunities
compares to those found within the interbank foreign exchange market. The concept
of triangular arbitrage is used within this study to identify potential arbitrage
opportunities. This study makes use of minute frequency data obtained from a retail
foreign exchange broker involving the US dollar, Euro and Japanese Yen. This study
covers a one week period from 4th to the 10th of April 2009, over which arbitrage
opportunities are tested for using the triangular arbitrage trade strategy. This study
also tested to see if triangular parity is a good predictor of future currency movement.
This study finds that some arbitrage opportunities do exist within the retail
foreign exchange market, however the returns of these opportunities suggests that the
retail foreign exchange market falls in line with the efficient market hypothesis. This
study finds that arbitrage opportunities in the form of triangular arbitrage are more
common within the interbank market than the retail market. This study also finds that
triangular parity is not a good predictor of currency movement. |
Description: | Independent study (MBA)--Graduate School, Bangkok University, 2009 |
Subjects: | Foreign exchange market--Case studies Foreign exchange market--Thailand--Case studies |
Advisor(s): | Criswell, Andrew R. |
URI: | http://dspace2.bu.ac.th/jspui/handle/123456789/518 |
Appears in Collections: | Independent Studies - Master Independent Studies
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