التكامل الاقتصادي

The Impact Of Financial Derivatives On Spot Market Volatility And Its Persistence Evidence From Saudi Stock Exchange During The Period 2016-2026 Using Arma(n.m) -egarch(p.q) Model

Auteurs : Dilmi Sabah .

Résumé

This study aimed to investigate the impact of financial derivatives trading, specifically MT30 index futures, single stock futures, and single stock options, on the volatility of the Saudi spot market. The study utilized daily closing prices of the Saudi Stock Market General Index (TASI) spanning the period from January 3, 2016, to June 25, 2026. The study employed the ARMA(n,m)-EGARCH(p,q) model to examine the effect of financial derivatives trading on return volatility and its persistence. Furthermore, the GARCH(1,1) model was used to track volatility persistence prior to and following the introduction of financial derivatives. The findings revealed that the optimal specification for modeling the impact of financial derivatives on Saudi spot market volatility is the ARIMA(1,0,1)-EGARCH(1,1) model. The results indicated no statistically significant effect of MT30 index futures and single stock options on spot market volatility. Conversely, the introduction of single stock futures significantly reduced Saudi stock market volatility and enhanced its stability, an effect that persisted even during periods of declining derivatives trading. Regarding volatility persistence before and after derivatives listing, the study observed an increase in the ARCH coefficient alongside a decrease in the GARCH coefficient and a reduction in overall volatility persistence. This suggests a diminished tendency for market volatility to persist over extended periods, thereby enabling the market to absorb sudden shocks and revert to its long-term equilibrium more rapidly.

Mots clés

Financial Derivatives ; Futures and Options ; Spot Market Volatility ; Volatility Persistence ; ARIMA(n,d,m)-GARCH(p,q)