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Abstract:
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The objective of this paper is to study factors affecting the differences between theoretical pricing and market pricing of Derivative Warrants (DW in the Stock Exchange of Thailand by using Derivative Warrants with 10 unit of SET50 index, which are divided into two part. The first one is called Derivative Warrant, which includes the following 5 unit: S5001C1906F S5006C1906A S5008C1906A S5013C1906A and S5028C1906A. The second Put Derivative warrant 5 unit are S5001P1906F S5006P1906A S5008P1906A S5013P1906A and S5028P1906A. These are secondary data in panel type. Total 30 working days of Stock Exchange Thailand. Data analysis in this paper was tested for stability of panel unit root data. The results showed that all variable in this study are I(0 type, which means the data is quite stable. The results of this relationship were analyzed using the Pooled OLS method, which showed that
1. Factors from technical indicators which are Gearing, Sensitivity, Time depreciation and All in premium affect to Percentage difference between market pricing and theoretical pricing of Call Derivative warrants.
2. Factors from technical indicators which are Sensitivity, Derivative warrant status and Time depreciation affect to Percentage difference between market price and theoretical price of Put Derivative warrant
Keywords: Derivative Warrant/Theoretical Pricing/Market Pricing/Differences/ Stock Exchange of Thailand
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