IDEAS home Printed from
   My bibliography  Save this article

Futures Basis of RSS3 in the Agricultural Futures Exchange of Thailand


  • Tarntip Boonkomrat

    () (Thanachart Bank, Pathum Wan, Bangkok, Thailand)

  • Kanokwan Chancharoenchai

    () (Faculty of Economics, Kasetsart University, Bangkok, Thailand)


Ribbed smoked rubber sheet no.3 (RSS3) is one of the agricultural commodities in the Agricultural Futures Exchange of Thailand (AFET). Recently, its futures basis has shown volatile behavior. This could reflect its inefficiency as a hedging tool and the inefficiency in AFET itself. This research examines the predictive power of some economic factors. The monthly data during June 2004 to October 2008 were used in the multiple regression analysis. The findings give evidence of statistically significant explanatory powers of the market and macroeconomic information in estimating the futures basis. The AFET could thus be categorized as semi-strong efficiency form of price. The efficiency could be increased by the effective dissemination of knowledge and information to investors to support their investment decision. In addition, the agricultural price risk should be managed through market-based tools.

Suggested Citation

  • Tarntip Boonkomrat & Kanokwan Chancharoenchai, 2011. "Futures Basis of RSS3 in the Agricultural Futures Exchange of Thailand," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 18(1), pages 15-30, June.
  • Handle: RePEc:aej:apecjn:v:18:y:2011:i:1:p:15-30

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item


    futures basis; RSS3; AFET;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aej:apecjn:v:18:y:2011:i:1:p:15-30. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chatrat Hemmawat). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.