e-ISSN 2231-8542
ISSN 1511-3701

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Analysis of Malaysia's Single Stock Futures and Its Spot Price

Marzuki, R. M., Mohd, M. A., Nawawi, A. H. M. and Redzwan, N. M.

Pertanika Journal of Tropical Agricultural Science, Volume 25, Issue 3, July 2017

Keywords: Single Stock Futures, SSF, VAR, Granger Causality, GARCH

Published on: 20 Jun 2017

Single Stock Futures (SSFs) was introduced in Bursa Malaysia on 28th April 2006. There have been many studies on derivative instruments in Malaysia; however, none is on SSFs. Various statistical methods have been used to analyse the SSFs and its spot returns, namely Descriptive Statistics, Unit Root test, VAR, Johansen and Juselius Co-integration test, Granger Causality test, Variance Decomposition test, VECM, and GARCH model. This study analyses the SSFs and spot returns of eight companies listed in Bursa Malaysia. It found that Berjaya Sports Toto Bhd and Genting Bhd have no long-run and short-run causality (Genting Bhd has bi-directional causality) while AirAsia Bhd and AMMB Holdings Bhd's spot returns' volatility decreased after the introduction of SSFs; it increased in the other seven companies. In addition, only AMMB Holdings Bhd futures return did not affect its spot return. Bursa Malaysia Bhd and RHB Capital Bhd spot returns lead their futures returns

ISSN 1511-3701

e-ISSN 2231-8542

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