A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange

Woradee Jongadsayakul

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 4, 1744-1749

Abstract: This paper provides the box spread test of the SET50 index options market efficiency using daily data from October 29, 2012, through March 30, 2016. The results show that the market frictions imposed by the bid-ask spread, along with brokerage commissions, exchange fees, and interest on initial margin deposit, appear to have a significant effect on arbitrageurs' abilities to take advantage of the mispricing of the box spreads. When using bid-ask prices rather than closing prices, the box spread arbitrage opportunities drop to

Keywords: Market Efficiency; Index Options; Box Spreads (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2016-04-61

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