| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This paper analyzes daily data on the Swiss franc, Euro dollar, Japanese yen, and British pound futures contracts traded on the International Monetary Market (IMM) of the Chicago Mercantile Exchange over the interval from January 1996 to September 2004.
The purposes of this paper are : (1) to compare the performance of cost of carry model and Wang and Hsu (2005) pricing model for currency futures; (2) to test the adequacy of degree of market imperfection derived by Wang and Hsu (2005).
According to the theoretical hypotheses and empirical result, we show that Wang and Hsu (2005) pricing model performs much better than the cost of carry model based on the perfect market assumption. We also find that the best method for estimating expected growth rates is the method of implied growth rate. Moreover, examining the relationship between the degree of market imperfection and the absolute pricing error estimated by cost of carry model, we find that a valuation model of the degree of market imperfection derived by Wang and Hsu (2005) can account for the degree of market imperfection in real word.
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