รหัสดีโอไอ 10.14457/TU.the.2014.425
Title Return and volatility spillover between SET50 index and SET50 index futures
Creator Purichita Sukhonpitumart
Contributor Chaiyuth Padungsaksawatdi, Advisor
Publisher Thammasat University
Publication Year 2014
Keyword Spillover ,Return ,Volatility ,SET50 index ,GARCH ,EGARCH ,GJR-GARCH
Abstract This paper investigates the relationship in terms of return and volatility between SET50 index futures and its underlying. The study compares three models of GARCH family including GARCH, EGARCH and GJR-GARCH. The result presents that GJR-GARCH is the best fit model. In addition, this paper also concerns about the structural break in the time series data, by using the Bai and Perron method. The results show that there is unidirectional return spillover from the spot market to the futures market, while there is bidirectional volatility spillover between these two markets but the effect from spot to futures is stronger than the reverse direction. Moreover, in the sub-period analysis, the return spillover shows the consistent result of the unidirectional return spillover of spot to futures markets in every period, while the result of volatility spillover are inconsistence over the time.
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บรรณานุกรม

Purichita Sukhonpitumart และผู้แต่งคนอื่นๆ. (2014) Return and volatility spillover between SET50 index and SET50 index futures. Thammasat University:ม.ป.ท.
Purichita Sukhonpitumart และผู้แต่งคนอื่นๆ. 2014. Return and volatility spillover between SET50 index and SET50 index futures. ม.ป.ท.:Thammasat University;
Purichita Sukhonpitumart และผู้แต่งคนอื่นๆ. Return and volatility spillover between SET50 index and SET50 index futures. ม.ป.ท.:Thammasat University, 2014. Print.