Factors Affecting Price’s Fluctuation of the SET50 Index Futures in Thailand Derivative Market during the Year 2011-2015

Abstract

This study examined Factors Affecting Price’s Fluctuation of the SET50 Index Futures in Thailand Derivative Market during the Year 2011 – 2015.  The objective was to study all of the factors affecting SET50 Index Futures’s fluctuation. According to daily closing price data of SET50 Index Future used for computing continuous return, the period before the maturity and the volume of SET50 Index Futures were calculated the fluctuation by using GARCH (1,1).

The results show that the data and fluctuation in the past affected the data and fluctuation in the present by the same direction, considered by the coefficient in ARCH and GARCH term of GARCH Model (1,1). The period before the maturity affected the return rate by the opposite direction, which means the return rates had much more fluctuation when the period of time closed to the contract maturity. It showed that the coefficient of the period before the maturity was quite less than the one of ARCH and GARCH. Therefore, the fluctuation of return rate in the present was possibly depended on data and the period of fluctuation in the past more than the period before the maturity. 

The remainder of the study can give information to the investors that they should be concerned not only about data and fluctuation in the past but the period before the maturity of SET50 index futures, which may affect the forecast of the SET50 index futures price for Hedge management. Thailand Future Exchange should be  onsidered to adjust proper risk margin in accordance with fluctuation rate in a period of time.