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dc.contributor.authorSirikhord, Panatdaen_US
dc.contributor.authorปนัดดา ศิริโคตรen_US
dc.date.accessioned2017-11-27T08:13:27Z
dc.date.available2017-11-27T08:13:27Z
dc.date.issued2017-11-27
dc.identifier.urihttp://repository.rmutp.ac.th/handle/123456789/2292
dc.descriptionวิทยานิพนธ์ (บธ.ม.) -- มหาวิทยาลัยเทคโนโลยีราชมงคลพระนคร, 2558en_US
dc.description.abstractThis study examined Factors Affecting Price’s Fluctuation of the SET50 Index Futures in Thailand Derivative Market during the Year 2011 – 2015. The objective was to study all of the factors which was affecting SET50 Index Futures’s fluctuation. According to daily closing price data of SET50 Index Future used for computing continuous return, the period before the maturity and the volume of SET50 Index Futures were calculated the fluctuation by using GARCH (1,1). The results show that the data and fluctuation in the past affected the data and fluctuation in the present by the same direction, considerated by the coefficient in ARCH and GARCH term of GARCH Model (1,1). The period before the maturity affected the return rate by the opposite direction, which means the return rates had much more fluctuation when the period of time closed to the contract maturity. It showed that the coefficient of the period before the maturity was quite less than the one of ARCH and GARCH. Therefore, the fluctuation of return rate in the present was possibly depended on data and the period of fluctuation in the past more than the period before the maturity. The remainder of the study can give information to the investors that they should be concerned not only about data and fluctuation in the past but the period before the maturity of SET50 index futures, which may affect the forecast of SET50 index futures price for Hedge management. Thailand Future Exchange should be considered to adjust proper risk margin inaccordance with fluctuation rate in a period of time.en_US
dc.description.sponsorshipRajamangala University of Technology Phra Nakhonen_US
dc.language.isothen_US
dc.subjectIndex Futuresen_US
dc.subjectตราสารอนุพันธ์en_US
dc.subjectความผันผวนen_US
dc.subjectสัญญาซื้อขายล่วงหน้าen_US
dc.titleFactors Affecting Price’s Fluctuation of the SET50 Index Futures in Thailand Derivative Market during the Year 2011-2015en_US
dc.title.alternativeปัจจัยที่มีอิทธิพลต่อความผันผวนราคาของ SET50 Index Futures ในตลาดตราสารอนุพันธ์แห่งประเทศไทย ระหว่างปี พ.ศ. 2554-2558en_US
dc.typeThesisen_US
dc.contributor.emailauthorarit@rmutp.ac.then_US


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