Impact of the Thailand Futures Exchange on the Stock Exchange of Thailand

• Main Authors: Piyawat Thammanant, 張志明
• Other Authors: Shao-Chi Chang
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/09579881197565451541

碩士 === 國立成功大學 === 國際管理碩士在職專班 === 97 === Recent empirical researches heavily discussed over the impact of derivatives trading on spot market in three aspects: efficient market hypothesis (EMH), lead-lag relationship and pattern of spot index volatility. This paper examines the impact of the introduction of stock index futures on the Stock Exchange of Thailand (SET) using daily data for period April 2003-April 2009. To test the efficient market hypothesis, cointegration analysis is used for this study. The lead-lag relationship is investigated through the error correction model and the impact on spot index volatility is detected by EGARCH model. The results found that there is long-run equilibrium for spot index and futures prices. This implies futures can be unbiased estimator for future spot price. The results also suggest that the direction of both long-and short-run causality is from spot prices to futures prices and the introduction of futures trading increases the conditional volatility of SET50 index.