IDEAS home Printed from https://ideas.repec.org/a/taf/oaefxx/v8y2020i1p1802807.html
   My bibliography  Save this article

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

Author

Listed:
  • Woradee Jongadsayakul
  • David McMillan

Abstract

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.

Suggested Citation

  • Woradee Jongadsayakul & David McMillan, 2020. "The effect of new futures contracts on gold futures price volatility: Evidence from the Thailand futures exchange," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1802807-180, January.
    • Handle: RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1802807
    DOI: 10.1080/23322039.2020.1802807
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23322039.2020.1802807
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/23322039.2020.1802807?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    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:taf:oaefxx:v:8:y:2020:i:1:p:1802807. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/OAEF20 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.