Therefore to gain from a covered interest arbitrage, a British investor must simultaneously buy dollars in the spot market and sell dollars in the forward market.
This study does an empirical test of the interest rate parity between the United States and selected emerging Asian economies of Malaysia, Korea, Singapore, Pakistan, India, Thailand and Philippines, and explores opportunity for covered interest arbitrage.
If the above equation does not hold then we would conclude that one can gain from covered interest arbitrage.
However, in most studies involving covered interest arbitrage the transaction cost is usually ignored.
and emerging Asian economies holds in the long run, nevertheless, an intelligent investor may be able to identify certain time periods when there might be opportunity for covered interest arbitrage.
and other industrialized countries, and therefore there is no opportunity for covered interest arbitrage for U.
Therefore to gain in a covered interest arbitrage a British investor must simultaneously buy dollar in the spot market and sell dollar in the forward market.
The purpose of this paper is to explore the possibilities of covered interest arbitrage between U.
Secondly, it is compared whether excess return is possible with covered interest arbitrage between U.