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Year 2016, Volume: 6 Issue: 4, 1744 - 1749, 01.09.2016

Woradee Jongadsayakul

Abstract

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

Year 2016, Volume: 6 Issue: 4, 1744 - 1749, 01.09.2016

Woradee Jongadsayakul

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.

Keywords

Market Efficiency Index Options Box Spreads

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Details

Other ID JA67ZA93JA
Journal Section Research Article
Authors

Woradee Jongadsayakul This is me

Publication Date September 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 4

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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.
AMA Jongadsayakul W. A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange. IJEFI. September 2016;6(4):1744-1749.
Chicago 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, no. 4 (September 2016): 1744-49.
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 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, 2016.
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 2016), 1744-1749.
JAMA 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, 2016, pp. 1744-9.
Vancouver Jongadsayakul W. A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange. IJEFI. 2016;6(4):1744-9.