RETURN AND VOLATILITY SPILLOVERS BETWEEN STOCK AND FUTURES MARKETS IN THAILAND

RETURN AND VOLATILITY SPILLOVERS BETWEEN STOCK AND FUTURES MARKETS IN THAILAND

We examine return and volatility spillovers between the SET50 index futures and its underlying index in the Thai financial exchanges. The findings show that the return of the spot market leads that of the futures market. Of three bivariate GARCH families, the GJR-GARCH model best describes the volat...

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Veröffentlicht in:Academy of Accounting and Financial Studies journal 2020-04, Vol.24 (2), p.1-14
Hauptverfasser: Sukhonpitumart, Purichita, Jaroenjitrkam, Anutchanat, Maneenop, Sakkakom, Padungsaksawasdi, Chaiyuth
Format: Artikel
Sprache:eng
Schlagworte:
Error correction & detection
Expected values
Futures market
Futures trading
Investments
Securities markets
Stochastic models
Stock exchanges
Studies
Volatility
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Zusammenfassung:We examine return and volatility spillovers between the SET50 index futures and its underlying index in the Thai financial exchanges. The findings show that the return of the spot market leads that of the futures market. Of three bivariate GARCH families, the GJR-GARCH model best describes the volatility movement. Moreover, bad news is more influential on the volatility spillover than good news, documenting an asymmetric effect. There exists a bidirectional volatility spillover, but the spillover from the futures market to the spot market is more notable during the recent sub-periods.
ISSN:1096-3685