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

• Main Authors: Campos, Michael Anthony S., Capule, Ryan Ray F., Casco, Jillian Jovel Marie J., Chuaunsu, Dominic Rainier M.
• Format: text
• Language: English
• Published: Animo Repository 2016
• Subjects: Economic indicators; Index numbers (Economics); Stock price indexes; Price indexes
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/6772
• Institution: De La Salle University

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.