Exchange rate returns

This study empirically investigates on the impact of FX futures trading on spot volatility in Thailand. The impact of the introduction of FX derivatives trading has been different in different markets and in most of the cases, the analysis has been conducted in the context of leading organized exchanges. The literature in the context of organized exchanges in emerging markets like Thailand is scarce. Therefore, this study can provide more insightful empirical evidence of how the introduction of FX futures changes the volatility structure of the underlying spot market and the relationship between spot volatility and the level of futures trading, including trading volume and open interest. The findings will offer new insights to policy makers in relation to the economic usefulness of the derivatives market in emerging markets.