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

Volume: 6 Number: 4 September 1, 2016
  • Woradee Jongadsayakul
International Journal of Economics and Financial Issues Cover
International Journal of Economics and Financial Issues
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A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange

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 less than 1 percent, and none of them is persisted on the following trading day. Considering transaction costs, the results therefore confirm the internal options market efficiency in the SET50 index options market. However, the results do not provide support for the argument that the SET50 index options market efficiency improved over time.

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Primary Language

English

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Journal Section

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Authors

Woradee Jongadsayakul This is me

Publication Date

September 1, 2016

Submission Date

September 1, 2016

Acceptance Date

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Published in Issue

Year 2016 Volume: 6 Number: 4

IZ

https://izlik.org/JA87AT75YU

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RIS / Bibtex
APA
Jongadsayakul, W. (2016). A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange. International Journal of Economics and Financial Issues, 6(4), 1744-1749. https://izlik.org/JA87AT75YU
AMA
1.Jongadsayakul W. A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange. IJEFI. 2016;6(4):1744-1749. https://izlik.org/JA87AT75YU
Chicago
Jongadsayakul, Woradee. 2016. “A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange”. International Journal of Economics and Financial Issues 6 (4): 1744-49. https://izlik.org/JA87AT75YU.
EndNote
Jongadsayakul W (September 1, 2016) A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange. International Journal of Economics and Financial Issues 6 4 1744–1749.
IEEE
[1]W. Jongadsayakul, “A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange”, IJEFI, vol. 6, no. 4, pp. 1744–1749, Sept. 2016, [Online]. Available: https://izlik.org/JA87AT75YU
ISNAD
Jongadsayakul, Woradee. “A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange”. International Journal of Economics and Financial Issues 6/4 (September 1, 2016): 1744-1749. https://izlik.org/JA87AT75YU.
JAMA
1.Jongadsayakul W. A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange. IJEFI. 2016;6:1744–1749.
MLA
Jongadsayakul, Woradee. “A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange”. International Journal of Economics and Financial Issues, vol. 6, no. 4, Sept. 2016, pp. 1744-9, https://izlik.org/JA87AT75YU.
Vancouver
1.Woradee Jongadsayakul. A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange. IJEFI [Internet]. 2016 Sep. 1;6(4):1744-9. Available from: https://izlik.org/JA87AT75YU