Integration in Futures Markets

  • Anutchanat Jaroenjitrkam Department of Finance, Thammasat Business School, Thammasat University, Thailand
  • Chaiyuth Padungsaksawasdi Department of Finance, Thammasat Business School, Thammasat University, Thailand
  • Sakkakom Maneenop Department of Finance, Thammasat Business School, Thammasat University, Thailand
Keywords: Market Integration, Futures Markets, Principal Components Analysis, Market Crash

Abstract

This paper aims to examine integration in equity index futures markets around the globe, which has not been explored in prior literature. Overall, the integration in futures markets is obviously stronger than that in the associated equity markets, although a sudden decrease is observed from years 2012 to 2014 due to a reduction in the volatility of futures markets. Thus, a long memory behavior of the integration in futures markets is not present. Specifically, the degree of integration of developed futures markets is much higher than that of emerging futures markets and the integration among European futures markets are the strongest. In addition, the integration is associated with stock market crash but not with stock market jump. We conclude that benefits from cross-market diversification still exist even during a turbulent period.

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Published
2020-11-08
How to Cite
Jaroenjitrkam, A., Padungsaksawasdi , C., & Maneenop, S. (2020). Integration in Futures Markets. Thailand and The World Economy, 38(3), 61-74. Retrieved from https://so05.tci-thaijo.org/index.php/TER/article/view/239283

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