การศึกษาโอกาสในการทำอาบิทราจในตลาดตราสารอนุพันธ์ในประเทศไทย / นพคุณ จูงพิริยะพงษ์ = The study of arbitrage opportunities in a derivatives exchange in Thailand / Nopakun Chungpiriyapong
The objective of this study is to investigate the fair price of futures derivative contract trading in Tfex market during JUL 2011 – JUN 2012 from Cost of carry model for pricing derivative theory and compare with market future price to find out the arbitrage opportunities from price different after deduct the transaction costs with considering other factors that affect the opportunities. And all results will reflect the market efficiency of Tfex. The result from period of study shows that there are some significant different between market and theory price. So arbitrage opportunity occurs after we deduct with transaction costs. We found that other factors that increase the arbitrage opportunity such as more liquidity volume and day to maturity of future contract. Totally the result will be reflects the weak-form efficiency in Tfex market due to emerging market that operate for 6 years and in the future the market will be more efficient with less arbitrage opportunity.