INVESTING IN DERIVATIVES IN THE THAILAND FUTURES EXCHANGE

Authors

  • Pitak Thobjan Finance and Financial Innovations Program, Faculty of Business Administration, Rajamangala University of Technology Krungthep, Thailand
  • Suphattana Tachochalalai Finance and Financial Innovations Program, Faculty of Business Administration, Rajamangala University of Technology Krungthep, Thailand
  • Atipan Vansuriya Finance and Financial Innovations Program, Faculty of Business Administration, Rajamangala University of Technology Krungthep, Thailand

Keywords:

investment, derivatives, futures market

Abstract

This research aimed to study investment factors regarded the duration of futures contracts affecting price fluctuations and volume of futures trading contracts that affect the price fluctuations of SET50 Index Futures in the Thai derivatives market. The research was based on secondary data which collected from the SETSMART program, consisting of the return on closing price index, the factors on trading volume, the factors on futures contract of SET50 Index Futures in the Thailand derivatives market between 2018 and 2022. The data were analyzed by using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model. The investment factor of futures contract maturity did not affect the price fluctuations of SET50 Index Futures in the Thai derivatives market between 2018 and 2022 at a confidence level of 95 percent, nor did investment factor of contract volume. Futures trading had no effect on the price volatility of SET50 Index Futures in Thailand's derivatives market between 2018 and 2022, at a confidence level of 95 percent.

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Published

2024-06-11

How to Cite

Thobjan, P., Tachochalalai, S., & Vansuriya, A. (2024). INVESTING IN DERIVATIVES IN THE THAILAND FUTURES EXCHANGE. JOURNAL OF MANAGEMENT SCIENCE SAKON NAKHON RAJABHAT UNIVERSITY, 4(2), 567–580. retrieved from https://so08.tci-thaijo.org/index.php/JMSSNRU/article/view/2355

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Research Articles