The effect of new futures contracts on gold futures price volatility: Evidence from the Thailand futures exchange

Artikel

This paper studies the effect of new gold derivatives products, including Gold-D and Gold Online Futures, on the futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric and asymmetric GARCH family models, namely: GARCH (1,1), TARCH (1,1), and EGARCH (1,1) models. The results reveal the existence of leverage effect in TARCH (1,1) and EGARCH (1,1) models. Moreover, TARCH (1,1) is found as the best fitting model in modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold Online Futures and the existing gold futures price volatility. Therefore, the results suggest regulatory authority to lower the level of margin requirements for the related futures contracts, along with the issuance of new derivatives products.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-14

Classification and Topics

• Classification: Wirtschaft ; Contingent Pricing; Futures Pricing; option pricing ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Subject: GARCH family ; gold futures ; new contract ; volatility

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Woradee Jongadsayakul
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2020

Further information

• DOI: doi:10.1080/23322039.2020.1802807
• Handle: http://hdl.handle.net/10419/269950
• Last update: 10.03.2025, 11:45 AM CET