Журнал Академии бухгалтерского учета и финансовых исследований

1528-2635

Абстрактный

Return and Volatility Spillovers Between Stock and Futures Markets in Thailand

Purichita Sukhonpitumart, Anutchanat Jaroenjitrkam, Sakkakom Maneenop, Chaiyuth Padungsaksawasdi

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.

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