The impact of single stock futures on spot price volatility of underlying stock in the stock exchange of Thailand during 2006-2012
The impact of single stock futures on spot price volatility of underlying stock in the stock exchange of Thailand during 2006-2012
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2020
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Assumption University Press
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eng
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8 pages
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AU-GSB e-JOURNAL 13, 2 (December 2020), 16-23
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The impact of the Stock Futures Trading to spot market has been considered by many countries all around the world. The debate on whether Stock Futures destabilizes or stabilizes the spot market has been well established in the developed market and emerging market on the Stock Index level. This research aims to examine the impact of the introduction of the Single Stock Futures on the volatility of the underlying equity in the Stock Exchange of Thailand from year 2006 to 2012, using the GARCH model. Based on (GARCH 1,1) model analysis, this study showed the introduction of Single Stock Futures stabilized the spot market volatility in Thailand. The coefficient γ of all 11 stocks shows a statistically significant level. Additionally, the SET Index was included and set up another model to test as another factor that causes volatility and found post-futures period volatility in the spot market decreased after an introduction of Single Stock Futures trading. In conclusion, the introduction of Single Stock Futures trading decreases the spot price volatility in the market. By considering (SET) as market factors, the results also found most Single Stock Futures trading also decreases the spot price volatility.
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