Date of Award
2020
Degree Type
Doctoral Dissertation
Degree Name
Doctor of Business Administration (DBA)
Department
Jack Welch College of Business
Dissertation Supervisor
Dr. W. Keener Hughen
Committee Member
Dr. E. Dante Suarez
Committee Member
Dr. Lorán Chollete
Abstract
This paper examines the impact of the introduction of currency futures on the volatility of four Asian emerging market currencies: Chinese yuan, Indian rupee, South Korean won, and Thai baht. A GARCH(1,1) model is implemented to measure volatility in pre- and post- futures introduction periods along with an MCMC procedure to estimate the model and test the significance in changes in volatility between the periods. We find that for three of the four currencies, the persistence and long-run mean of volatility significantly decrease after futures were introduced, while the variance of variance decreases for all four currencies. The results suggest that the market for each currency becomes more efficient when futures are traded.
Recommended Citation
Starzecki, T. (2020). The impact of the introduction of FX futures on the volatility of the underlying Asian emerging market currencies. Jack Welch College of Business & Technology dissertation, Sacred Heart University, Fairfield CT.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Included in
Business Administration, Management, and Operations Commons, Finance and Financial Management Commons
Comments
Submitted by Teresa Starzecki Doctor of Business Administration in Finance Program in partial fulfillment of the requirements for the degree of Doctor of Business Administration in Finance, Sacred Heart University, Jack Welch College of Business and Technology Fairfield, Connecticut, Date: July16, 2020