IMPACT OF DERIVATIVE WARRANTS INTRODUCTION ON THAILAND STOCK MARKET VOLATILITY

IF 0.7 Q4 BUSINESS

International Journal of Business and Society Pub Date : 2023-12-26 DOI:10.33736/ijbs.6406.2023

W. Jongadsayakul

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引用次数: 0

Abstract

The Stock Exchange of Thailand (SET) first launched derivative warrants on SET50 index (SET50 DWs) on April 17, 2014. They are currently the most active DWs on the SET. This research uses the GARCH family models augmented with dummy variable to analyze the effect of SET50 DWs on stock market volatility. The sample data consist of daily returns of SET50 index from the period October 30, 2012 to December 30, 2019. The empirical results indicate that the coming into market of SET50 DWs reduces stock market volatility. The GARCH (1,1) TARCH (1,1), and EGARCH (1,1) models are not radically different from each other in their output. However, the asymmetric TARCH (1,1) model is found to provide the best fit in modelling volatility. The SET50 index shows the existence of leverage effect, where negative shocks have a greater impact on the volatility than positive shocks. Introducing SET50 DWs lowers the price volatility of SET50 index so investor having a portfolio investment with a correlation to the performance of SET50 index should adjust hedge ratio appropriately to manage investment risk. There is also a suggestion for policy makers to support the launch of DWs to lower the volatility in underlying spot market resulting in improved efficiency.

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引入衍生权证对泰国股市波动的影响

泰国证券交易所（SET）于 2014 年 4 月 17 日首次推出 SET50 指数衍生权证（SET50 DWs）。目前，它们是 SET 上最活跃的衍生权证。本研究使用增加了虚拟变量的 GARCH 系列模型来分析 SET50 DWs 对股市波动性的影响。样本数据包括 2012 年 10 月 30 日至 2019 年 12 月 30 日期间 SET50 指数的日收益率。实证结果表明，SET50 DWs 的上市降低了股市波动性。GARCH (1,1) TARCH (1,1) 和 EGARCH (1,1) 模型的输出结果没有本质区别。然而，非对称 TARCH (1,1) 模型在模拟波动性方面的拟合效果最好。SET50 指数显示了杠杆效应的存在，即负面冲击比正面冲击对波动率的影响更大。SET50 DWs 的引入降低了 SET50 指数的价格波动性，因此与 SET50 指数表现相关的投资组合投资者应适当调整对冲比率，以管理投资风险。此外，还建议政策制定者支持推出 DWs，以降低相关现货市场的波动性，从而提高效率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Business and Society BUSINESS-

CiteScore

1.80

自引率

10.00%

发文量

期刊介绍： International Journal of Business and Society (IJBS) is an international scholarly journal devoted in publishing high-quality papers using multidisciplinary approaches with a strong emphasis on business, economics and finance. It is a triannual journal published in April, August and December and all articles submitted are in English. Our uniqueness focus on the impact of ever-changing world towards the society based on our niche area of research. IJBS follows a double-blind peer-review process, whereby authors do not know reviewers and vice versa. The journal intends to serve as an outlet with strong theoretical and empirical research and the papers submitted to IJBS should not have been published or be under consideration for publication elsewhere.