Intraday volatility spillovers and lead lag relationship between spot and futures indices: Evidence from Thailand
Post by MSF Chula at Tuesday, 8 August 2017 10:35 AM

This study investigates volatility spillovers and lead lag relationship between SET50 spot and futures, using the high frequency data (1min 5min 10min 30min and 60min intervals). The data separated into 2 sub-periods to examine the effect of introducing options market makers in Thailand Futures Exchange. Granger causality test results suggest that 5min 10min 30min and 60min intervals are showing unilateral causality from future to spot whereas 1min interval is showing bilateral causality. Bivariate Garch results show that there is evidence for the existence of bi-directional volatility spillovers between futures and spot markets. The shock and volatility transmissions between SET50 futures and spot markets indicate a  bi-directional causality, suggesting that market volatility in the spot market can influence that in the futures market and vice versa. 

Last updated at Tuesday, 8 August 2017 10:35 AM