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Please use this identifier to cite or link to this item: http://dspace.bu.ac.th/jspui/handle/123456789/518

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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