Browsing by Subject "Hedging"
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ItemAgricultural commodity futures and stock market: evidence from RSS3 Futures in Thailand(Assumption University Press, 2017) Yaowaluk Techarongrojwong ; Pathathai Sinliamthong ; Rattana WaranyasathitThis study aims to examine the role of RSS3 Futures as the hedge for stock market in Thailand. The data is collected from May 28, 2004 until December 31, 2015, which includes totally 2,833 trading days. The results show that there is no relationship between RSS3 Futures and the stock market implying that RSS3 Futures can be the hedge for stock market in general. However, RSS3 Futures is not the candidate for safe haven of stock market because it shows no hedge property during the period of extremely negative stock returns. The result implies investors in Thailand, especially stock investors, should consider adding RSS3 Futures in their optimal portfolio because it clearly shows that RSS3 Futures can help in diversifying the risk, especially during the periods of stock market downturn.
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ItemGold futures contracts on comparing ordinary least squares and bivariate vector autoregression on hedging effectiveness( 2014) Suppanunta RomprasertGold futures contracts are effective to be used as a hedging instrument in Thailand commodity futures exchange especially by bivariate vector autoregression model. The results indicate that constant hedge ratio after controlling for basis risk outperform the time-varying hedge ratio. Comparisons of the in-sample and out-of-sample hedging performance of each model imply that the BVAR model performs the better over OLS model. It is important for gold futures market participants to have an understanding of how effective the commodities futures are in hedging. For Thailand Future Exchange (TFEX), this paper suggests that TFEX should be further developed to provide an efficient hedging tools as other developed markets in the world do.