A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange
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References listed on IDEAS
- Vipul, 2009. "Box‐spread arbitrage efficiency of Nifty index options: The Indian evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(6), pages 544-562, June.
- Ronn, Aimee Gerbarg & Ronn, Ehud I, 1989. "The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies," The Review of Financial Studies, Society for Financial Studies, vol. 2(1), pages 91-108.
- Ackert, Lucy F. & Tian, Yisong S., 2001.
"Efficiency in index options markets and trading in stock baskets,"
Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1607-1634, September.
- Lucy F. Ackert & Yisong S. Tian, 1999. "Efficiency in index options markets and trading in stock baskets," FRB Atlanta Working Paper 99-5, Federal Reserve Bank of Atlanta.
- Lucy F. Ackert & Yisong S. Tian, 2000. "Evidence on the efficiency of index options markets," Economic Review, Federal Reserve Bank of Atlanta, vol. 85(Q1), pages 40-51.
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Cited by:
- Hoque, Ariful & Le, Thi & Hasan, Morshadul & Abedin, Mohammad Zoynul, 2024. "Does market efficiency matter for Shanghai 50 ETF index options?," Research in International Business and Finance, Elsevier, vol. 67(PB).
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More about this item
Keywords
Market Efficiency; Index Options; Box Spreads;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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