Paper Title
Hedging Effectiveness in the Thailand Futures Exchange Market

Abstract
This study intends to examine hedge effectiveness through derivative instruments in an emerging market, with evidence from Thailand during the period 2010 to 2017. Focusing on a series of three underlying assets (the SET50 index, gold and the three-month BIBOR) in futures contracts, the methodologies are employed via static and time-varying models, namely OLS, VECM, EGARCH and MGARCH (including BEKK and DCC). The results show that SET50 futures display the best hedge effectiveness in Thailand, followed by gold futures and interest rate futures (three-month BIBOR) in both the static and time-varying models. The results are consistent with the previous literature and shed more light on the study of derivative products in Thailand. However, since the Thai derivatives market has only been established since 2004, there is only a small range of derivative products available, with little historical data. Therefore, future studies which apply short-term (e.g. one- or two-year period) data to the existing derivative products in Thailand would be of additional benefit to investors in order to devise a correct investment strategy. Keywords - Hedge Effectiveness, Optimal Hedge Ratio, Thailand Futures Exchange Market, Static Model, Time-Varying Model