Intraday Price Discovery in Emerging Equity Market: Analysis of SET50 Index, SET 50 Index Futures and THAIDEX SET50 (TDEX)

Author

Chiraphol New CHIYACHANTANA, Singapore Management UniversityFollow
Julaluck Choochuay, Chulalongkorn University
Tanakorn Likitapiwat, Chulalongkorn University

Publication Type

Journal Article

Version

publishedVersion

Publication Date

12-2012

Abstract

This study employs Vector Error Correction Model (VECM), information share and conditional information share methods to investigate price discovery in SET50 Index (cash index), SET50 Index Futures (futures index) and ThaiDex SET50 (exchange traded fund). Our findings indicate that there exists a long run relationship among three markets and a multi-market trading of derivatives markets and its underlying asset helps improve price efficiency. With respect to the degree of price formation process, SET50 Index Futures contributes most in price discovery process, followed by SET50 Index and ThaiDex SET50.

Keywords

Price discovery, cointegration, common factor, error correction model, Information share, conditional information share

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Journal of Applied Economics Sciences

Volume

7

Issue

4

First Page

380

Last Page

390

ISSN

1843-6110

Citation

CHIYACHANTANA, Chiraphol New; Choochuay, Julaluck; and Likitapiwat, Tanakorn. Intraday Price Discovery in Emerging Equity Market: Analysis of SET50 Index, SET 50 Index Futures and THAIDEX SET50 (TDEX). (2012). Journal of Applied Economics Sciences. 7, (4), 380-390.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/4604

Creative Commons License

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