Date of Award


Degree Type

Doctoral Dissertation

Degree Name

Doctor of Business Administration (DBA)


Jack Welch College of Business


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

Dissertation Supervisor

Dr. W. Keener Hughen

Committee Member

Dr. E. Dante Suarez

Committee Member

Dr. Lorán Chollete


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.

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.



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