Hidden in plain sight: The impact of stock index futures trading on spot market volatility of southeast and east asian economies

Date of Publication

2016

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

College

Ramon V. Del Rosario College of Business

Department/Unit

Financial Management

Thesis Adviser

Mar Andriel S. Umali

Defense Panel Chair

Kristine Mae F. Lagdameo

Defense Panel Member

Steven S. Lim
Enrico R. Amat
Edralin C. Lim
Michelle Brendy Ocampo Tan

Abstract/Summary

With the recent ASEAN economic integration and the advancement of the credit rating in the Philippines, the Philippine economy is now more globally competitive, which also means that it is more exposed to higher financial risks. Yet, the Philippine financial system still lags behind other Asian countries. While the lack of financial complexity has hindered some investors, it may have also shielded the Philippine economy from the brunt of the Global Financial Crisis of 2007-2009. As such, the researchers of this study attempt to see if complex financial products, specifically index futures, provide tangible benefits to the overall financial market of its domestic economy, or if it just provides sophisticated investors opportunities to make speculative and arbitrage profits. By using the GARCH as well as the ARIMA model, they found that futures trading in the Asian region exhibits a destabilizing or negligible effect, with the exception of Hong Kong and Shanghai. It was also found that the Philippine market has a long-run relationship with all the markets in the Asian region covered in this study. Thus, the researchers provide a stable foundation upon which policymakers, experts in the financial industry, and academe can sustainably improve the stability of markets within the Asian region especially the Philippines.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTU001040

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

153, 4 leaves : illustrations (some color) ; 29 cm. + 1 computer optical disc ; 4 3/4 in.

Keywords

Economic indicators; Index numbers (Economics); Stock price indexes; Price indexes

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