000			02099nam a2200241 4500
999			_c50460 _d50460
003			OSt
005			20181119183431.0
008			181119b ||||| |||| 00| 0 eng d
100			_aMutum, Kelvin _932491
245			_aTesting the Efficiency of Indian Index Options Market by Employing the Box - Spread Strategy : Empirical Evidence from S&P CNX Nifty Index
300			_a21-32 p.
520			_aThis article examined the efficiency of the Indian index options market by employing the box-spread arbitrage pricing relationship. The data collected for the study consisted of the daily closing prices of S&P CNX Nifty index options contracts from April 1, 2012 to March 31, 2017. The study demonstrated a frequent violation of box-spread parity. However, when the frequency and magnitude of the mispriced signals (violation of box-spread parity) were observed in light of specified liquidity and maturity levels, it was observed that most of the mispriced signals were concentrated at the illiquid levels and options which were going to get expired, and the magnitude of mispriced signals at the illiquid levels and options which were going to get expired were significantly larger than that of the liquid levels and options which were far away from the maturity date. Further, in order to verify whether the differences in the mean magnitude of the mispriced signals at different liquidity and maturity of the options contracts were statistically significant, the hypotheses were formulated and tested. The results of the study suggested that the Indian index options market during the period of study was efficient as most of the abnormal profits from the mispriced signals were not exploitable due to lack of liquidity.
653			_aArbitrage, Box-Spread,
653			_aCall Option
653			_aEfficiency,
653			_a Index Options
653			_aPut Option
700			_aDas, Ashim Kr _932492
700			_aSingh, N. B. _932493
700			_aSingha, U. Sarita _932494
773	0		_029384 _972844 _aGILANI,S. _o5559510 _tINDIAN JOURNAL OF FINANCE _x0973-8711
942			_2ddc _cJA-ARTICLE