A Box Spread Test of the SET50 Index Options Market Efficiency: Evidence from the Thailand Futures Exchange
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 mar...
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| Format: | Članak |
| Jezik: | English |
| Izdano: |
EconJournals
2016-10-01
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| Serija: | International Journal of Economics and Financial Issues |
| Online pristup: | http://mail.econjournals.com/index.php/ijefi/article/view/2741 |