Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ความสัมพันธ์แบบนำ-ตาม ระหว่างตลาดสัญญาซื้อขายล่วงหน้าที่อ้างอิงราคาหุ้นแบบรายใหญ่และตลาดทุน-หลักฐานจากประเทศไทย
Year (A.D.)
2020
Document Type
Independent Study
First Advisor
Tanakorn Likitapiwat
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2020.85
Abstract
According to the efficient market hypothesis, there should not be any lead-lag relationship of the spot and futures price of the financial assets; however, many empirical studies have suggested otherwise. This study uses the Vector Error Correction Model (VECM) and Granger causality test with the daily trading data of Thailand’s block trade single stock futures and its underlying securities of 42 companies from 2016 to 2020. It reveals both unidirectional and bidirectional relationships of spot and futures markets with a less dominant role of the futures market in the price discovery function. None of the sample companies have both long-run and short-run causality from futures to spot market, and only 5% of the 42 companies show the leading role of the futures market in the long-run with bilateral interaction in the short-run. The results contradict our hypothesis that block trade single stock futures lead the counterpart underlying stocks in the short-run and long-run despite the higher leverage, lower transaction cost, and no short sale restriction of the futures market. The lead-lag relationship between block trade single stock futures and the underlying stocks in Thailand can provide insightful information for regulators and policymakers in promoting efficiency and improving the information asymmetry that would help create a better trading environment for investors.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Wongvisavakorn, Pimnapa, "The lead-lag relationship of block trade single stock futures and the underlying stocks: evidence from Thailand" (2020). Chulalongkorn University Theses and Dissertations (Chula ETD). 7601.
https://digital.car.chula.ac.th/chulaetd/7601