@article{Jongadsayakul:338443,
      recid = {338443},
      author = {Jongadsayakul, Woradee},
      title = {การทดสอบประสิทธิภาพภายในตลาด SET50 Index Options:  ความแตกต่างระหว่าง Call Options กับ Put Options},
      journal = {Applied Economics Journal},
      address = {2017-11},
      year = {2017},
      abstract = {This study is aimed to test the internal efficiency of  SET50 Index Options market and focus on the difference  between SET50 Index Call Options pricing relationship and  SET50 Index Put Options pricing relationship using the  conditions of Call & Put Spreads and Call & Put Butterfly  Spreads. Over the sample period from October 29, 2012  through March 30, 2016, although the mispricing and  arbitrage opportunities for SET50 Index Options are  observed under the case of no transaction costs, there are  not much opportunities, less than 11 percent. Even with  modest transaction costs, including exchange fees,  brokerage commissions, and opportunity cost of initial  margin deposit, the frequency of arbitrage opportunities  drops to less than 5 percent. Using bid and ask prices  rather than closing prices, the arbitrageurs can earn  riskless profit with SET50 Index Put Options trading only.  With the existence of arbitrage opportunities, Put Spread  generates more profit than Call Spread, but the mean sizes  of violations for Call & Put Butterfly Spreads are not  statistically different. Taking all transaction costs  (exchange fees, brokerage commissions, interest on initial  margin deposit, and bid-ask spread) into account, arbitrage  opportunities in every case are almost eliminated. The  SET50 Index Options market is therefore efficient. The  result would boost the investors’ confidence to invest in  options market.},
      url = {http://ageconsearch.umn.edu/record/338443},
      doi = {https://doi.org/10.22004/ag.econ.338443},
}