The Intertemporal Relationship Between the Currency Spot Market and the Currency Option Market
利用1989年德国马克和日元的高频货币期权交易数据，检验即期汇率与期权隐含汇率之间的领先滞后关系，发现即期市场领先期权市场约90分钟。
This study examines the lead/lag relationship between currency option and currency spot markets for the Deutsche mark and the Japanese yen. Using intraday currency option transactions data for the year 1989 and applying a European type currency option pricing model, pair data series of the implied and the observed exchange rates are compiled. Causality tests are then employed to test the causal relation between the observed and the implied exchange rate changes. The results indicate that the currency spot market leads the currency option market by about ninety minutes.