Lead-Lag Relationship between Foreign Net Daily Transaction in Thailand’s Index Future Market and Spot Market
Post by MSF Chula at Tuesday, 8 August 2017 10:35 AM

This lead-lag relationship between foreign daily net transaction of Thailand’s future and spot exchange is
investigated. Regression model, Pair-wise correlation testing, and Vector Autoregressive analysis show
that future trading by foreigners is one to two days leading their action in spot market, one day in general
case and two day in case of the huge foreign flow into future market. This finding, however, could not be
implemented into a strategy that would generate profit that is superior to buy and hold strategy, random
walk strategy, or the strategy that observe the difference in price of spot and future index.

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