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Box‐spread arbitrage efficiency of Nifty index options: The Indian evidence

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  • Vipul

Abstract

This study examines the market efficiency for the European style Nifty index options using the box‐spread strategy. Time‐stamped transactions data are used to identify the mispricing and arbitrage opportunities for options with this modelfree approach. Profit opportunities, after accounting for the transaction costs, are quite frequent, but do not persist even for two minutes. The mispricing is higher for the contracts with higher liquidity (immediacy) risk captured by the moneyness (the difference between the strike prices and the spot price) and the volatility of the underlying. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:544–562, 2009

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  • 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.
    • Handle: RePEc:wly:jfutmk:v:29:y:2009:i:6:p:544-562
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    Cited by:

    1. Atilgan, Yigit & Demirtas, K. Ozgur & Simsek, Koray D., 2016. "Derivative markets in emerging economies: A survey," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 88-102.
    2. Woradee Jongadsayakul, 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, Econjournals, vol. 6(4), pages 1744-1749.

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