@article{Lerskullawat:338425,
      recid = {338425},
      author = {Lerskullawat, Polwat},
      title = {Hedging Effectiveness on the Thailand Futures Exchange  Market},
      journal = {Applied Economics Journal},
      address = {2019-12},
      year = {2019},
      abstract = {This study examines hedge strategies through derivative  instruments in an emerging market, with evidence from  Thailand during the period 2011 to 2018. Focusing on a  series of futures contracts on the Thailand Futures  Exchange market (TFEX), namely SET50 futures, gold futures  and interest rate futures, the study methods employed in  both static and time-varying models: OLS, VECM,  time-varying OLS, EGARCH, BEKK and DCC. In general, the  results show that SET50 futures display the best hedge  ratio and hedge effectiveness in Thailand, followed by gold  futures and interest rate futures. Therefore, investors in  Thailand will benefit from investing in SET50 futures only  if their business or hedge assets relate to the composite  index, particularly the SET50 index. Otherwise, the other  types of derivatives or financial instruments may need to  be considered more carefully for investment strategies.  However, the hedge effectiveness of gold futures appears to  be sensitive when the time-varying models are applied  differently. Furthermore, these results are consistent with  the previous literature and shed more light on the study of  derivative products in Thailand.},
      url = {http://ageconsearch.umn.edu/record/338425},
      doi = {https://doi.org/10.22004/ag.econ.338425},
}