Trading Volume Dynamics and Macroeconomic Influences in Thailand’s Equity Derivatives Market: A VAR Approach

The study focuses on the SET50 Index, a benchmark of the fifty largest companies listed on the Stock Exchange of Thailand (SET). Thailand, despite being part of the options-dominated Asia-Pacific region, has a unique market structure where SET50 Index Futures dominate derivatives trading, while SET50 Index Options remain comparatively underused. Given this divergence from common regional trends, this study aims to examine the factors influencing trading volume dynamics in Thailand’s equity derivatives market using a Vector Autoregressive (VAR) model with three lags. The empirical results, based on the sample period from May 2014 to December 2024, show the existence of a bidirectional relationship between the trading volumes of SET50 Index Futures and SET50 Index Options. The impulse response function results are consistent with the VAR(3) model estimate, showing that SET50 Index Options trading volume has a positive impact on SET50 Index Futures trading volume, but not vice versa. In addition, underlying market liquidity is positively related to the trading volumes of SET50 Index Futures and Options, while underlying market volatility positively affects only SET50 Index Futures trading volume. Except for the exchange rate, other macroeconomic factors are related to the trading volumes of SET50 Index Futures and SET50 Index Options. The growth rate of private investment positively impacts on the trading volumes of SET50 Index Futures and SET50 Index Options. Inflation and interest rates are related to the trading volume of SET50 Index Futures, while the leading economic index is related to the trading volume of SET50 Index Options.