Commodity futures exchanges in Thailand : challenges and outlook | |
| Author | K. V., Dileeph |
| Call Number | AIT Proj. no.SM-05-03 |
| Subject(s) | Commodity futures--Thailand Commodity exchanges--Thailand |
| Note | A project submitted in partial fulfillment of the requirements for the degree of Master of Business Administration |
| Publisher | Asian Institute of Technology |
| Abstract | One of the most noteworthy and exciting developments in the area of finance in the recent two decades, has been the growth of derivatives markets. Being hugely popular and innovative in capital markets, the derivatives trading has three types of traders in the market, namely, hedgers, speculators and arbitrageurs. Commodity futures are still a relatively unknown asset class. But the low transaction cost, frequent trading, good participation by stakeholders and better dissemination of information will make the prices determined in the futures exchange, a better bet than the one decided by administered pricing mechanism or something similar to that. This paper will concentrate on the Commodity Futures Trading with focus on the Agricultural Futures Exchange of Thailand. Though AFET has a history of less than one year with just two products in its offerings, it has been growing in terms of the volumes traded, liquidity and the open interest. The paper has tried to unravel the price movements of natural rubber and white rice commodities in the futures market. In-depth studies have been made to correlate the spot price with the futures price over the time span. Attempts have also been made to explain the optimal hedge ratios, the price trends, volatility and arbitrage opportunities. In the entire work, the analysis has been done with population statistics, for each contract separately. There is one section that deals with the idea of convenience yield, reason why it exists in a commodity market and its estimation for various contracts of rubber (RSS3). The strategic issues that AFET faces at present and the ways and means in order to improve the efficacy of the system as a whole is discussed in the Literature Review. |
| Year | 2005 |
| Type | Project |
| School | School of Management (SOM) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Kouwenberg, Roy; |
| Examination Committee(s) | Tang, John C.S.;Venkatesh, Sundar; |
| Degree | Project (M.B.A.) - Asian Institute of Technology, 2005 |