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.本研究以实证方法探讨外汇期货（Foreign Exchange Futures, FX Futures）交易对泰国现货市场波动率的影响。外汇衍生品交易推出后的市场影响因不同市场而异，且现有多数相关分析均以主流规范化交易所为研究场景展开。但针对泰国这类新兴市场的规范化交易所相关研究文献较为匮乏。有鉴于此，本研究可为探明外汇期货推出如何改变标的现货市场的波动率结构，以及现货波动率与期货交易规模（含成交量与持仓量）之间的关联，提供更具深度的实证依据。本研究结论可为政策制定者研判新兴市场衍生品市场的经济效用提供全新视角。