泰国外汇期货交易量的动态变化

IF 2 Q2 BUSINESS, FINANCE

Risks Pub Date : 2024-09-14 DOI:10.3390/risks12090147

Woradee Jongadsayakul

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引用次数: 0

摘要

继 2022 年 10 月 31 日推出欧元/美元期货和美元/日元期货后，泰国期货交易所于 2022 年首次进入以外汇衍生品交易量为基础的衍生品交易所前 11 强。本文通过 VAR（2）模型研究了泰国外汇期货交易量的动态变化。在 2022 年 10 月 31 日至 2024 年 1 月 12 日的样本期内，考虑了欧元/美元期货、美元/日元期货和美元/泰铢期货的交易量。实证结果没有证明欧元/美元期货的交易量依赖于美元/日元期货和美元/泰铢期货过去的交易量。格兰杰因果检验结果表明，美元/日元期货交易量与美元/泰铢期货交易量之间存在双向因果关系。脉冲响应函数的结果与 VAR（2）模型的符号结果一致，表明美元/日元期货交易量对美元/港币期货交易量有负向影响，反之亦然。方差分解分析表明，美元/日元期货交易量和美元/泰铢期货交易量的变化除了自身的冲击外，还受到其他外汇期货交易量冲击的解释。因此，交易者应更多地关注新的外汇期货交易活动，因为它对美元/泰铢期货交易量有负面影响，并对美元/泰铢期货交易量的变异有贡献。了解期货交易量关系还有助于泰国期货交易所开发新产品和服务，促进市场流动性和稳定性。

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Dynamics of Foreign Exchange Futures Trading Volumes in Thailand

Following the introduction of EUR/USD futures and USD/JPY futures on 31 October 2022, Thailand Futures Exchange first entered the top 11 list of derivatives exchanges based on foreign exchange derivative volumes in 2022. This paper investigates the dynamics of foreign exchange futures trading volumes in Thailand through the VAR(2) model. Trading volumes of EUR/USD futures, USD/JPY futures, and USD/THB futures are considered over the sample period from 31 October 2022 to 12 January 2024. The empirical results provide no evidence that the trading volume of EUR/USD futures is dependent on the past trading volumes of USD/JPY futures and USD/THB futures. The Granger causality test results show the existence of bidirectional causality between the trading volumes of USD/JPY futures and USD/THB futures. The results of the impulse response function are consistent with the sign results of the VAR(2) model, showing that the USD/JPY futures trading volume has a negative impact on the USD/THB futures trading volume, and vice versa. The analysis of variance decomposition shows that the variability of the USD/JPY futures trading volume and USD/THB futures trading volume, apart from its own shock, is explained by other FX futures trading volume shocks. Therefore, traders should pay more attention to new FX futures trading activity due to its negative impact on the USD/THB futures trading volume and its contribution to the variance in the USD/THB futures trading volume. Understanding the futures trading volume relationship also helps Thailand Futures Exchange develop new products and services that can foster market liquidity and stability.

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