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dc.contributor.authorYaowaluk Techarongrojwong
dc.contributor.otherAssumption University. Martin de Tours School of Management and Economics
dc.identifier.citationAU Journal of Management 6, 2 (July-December 2008), 23-32
dc.descriptionIn English ; only abstract in English
dc.description.abstractChoosing the right pricing approach is the key to deriving the true derivatives prices. This paper aims to compare the pricing performance of the cost of carry model and the imperfect market model in pricing the SET 50 index futures prices. This study replicates the study of Wang (2007) that compares the futures pricing performances of the cost of carry model and the imperfect market model in the Stock Exchanges of Japan, Hong Kong, Korea, and Taiwan. By using the mean percent- age errors and the mean absolute percentage errors as criteria in measuring the pricing perfor- mances of two models, the empirical results indicate that the highly impeifect financial market like SET 50 index futures market is relatively mispriced based on the model of perfect market assump- tion, suggesting that the suitable approach in pricing the SET 50 index futures is the imperfect market model. Relying on the perfect market assumption evidences an enormous misprice especially when the calculation is based on the calendar days. Therefore practitioners should identify the ap- propriate pricing method before estimating the theoretical prices of stock index futures.
dc.publisherAssumption University
dc.rightsThis work is protected by copyright. Reproduction or distribution of the work in any format is prohibited without written permission of the copyright owner.
dc.subjectAU Journal of Management
dc.subjectAU Journal of Management -- 2008
dc.subject.otherAssumption University -- Periodicals
dc.subject.otherDerivative securities
dc.subject.otherOptions (Finance) -- Prices
dc.titleThe comparison of pricing performances between cost of carry model and imperfect market model
mods.genreJournal Article
au.identifier.bibno0021-0578[Full Text](

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