Browsing Journal of Risk Management and Insurance by Author "Rattana Waranyasathit"
Yaowaluk Techarongrojwong; Pathathai Sinliamthong; Rattana Waranyasathit (Assumption University Press, 2017)
This 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 ...