泰国的外汇期货交易和现货市场波动性

IF 2 Q2 BUSINESS, FINANCE

Risks Pub Date : 2024-06-26 DOI:10.3390/risks12070107

Woradee Jongadsayakul

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引用次数: 0

摘要

本文以欧元/美元期货和美元/日元期货为例，研究了外汇期货的引入如何对现货波动率产生影响，并考虑了现货波动率与外汇期货交易活动（包括泰国期货交易所的交易量和未平仓合约）之间的同期和动态关系。EGARCH (1,1)模型的结果显示，外汇期货的推出降低了现货波动率。它还提高了新信息在现货价格中的嵌入率，但降低了波动冲击的持续性。意外交易量和意外未平仓合约对同期现货波动率的正向影响与现货波动率和外汇期货交易活动之间动态关系的 VAR（1）模型结果一致。由于意外公开利率对即期波动率的影响强于意外交易量，外汇期货交易稳定了即期波动率。

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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Foreign Exchange Futures Trading and Spot Market Volatility in Thailand

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading volume and open interest in the Thailand Futures Exchange context, with the examples of the EUR/USD futures and USD/JPY futures. The results of the EGARCH (1,1) model show that the introduction of foreign exchange futures decreases spot volatility. It also increases the rate at which new information is impounded into spot prices but decreases the persistency of volatility shocks. A positive effect of unexpected trading volume and a negative effect of unexpected open interest on contemporaneous spot volatility are in line with the VAR(1) model results of the dynamic relationship between spot volatility and foreign exchange futures trading activity. With the impact on spot volatility caused by unexpected open interest rate being stronger than by unexpected trading volume, foreign exchange futures trading stabilizes spot volatility.

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