일본 옥수수 선물시장의 불편성에 대한 검정

• 영문명: An Unbiasedness Test of the Japanese Corn Futures Market
• 발행기관: 개인저작물
• 저자명: 양승룡 윤병삼
• 간행물 정보: 『개인저작물 - 사회』제45권 제2호, 211~233쪽, 전체 23쪽
• 주제분류: 사회과학 > 개인저작물
• 파일형태: PDF
• 발행일자: 2004.06.01

영문 초록

This study is to determine whether TGE corn futures price is an unbiased forecast of its underlying U.S. corn cash price. The test for unbiasedness is a joint test of market efficiency and no-risk premium. The Johansen cointegration result shows that there exists a long-run equilibrium relationship between U.S. corn cash prices and TGE corn futures prices. However, the Johansen likelihood ratio test rejects the null hypothesis of unbiasedness, suggesting the possible existence of either market inefficiency or risk premium. The error correction model(ECM) rejects the market efficiency, and the ARCH-M model rejects the existence of risk premium. The results imply that the TGE corn futures price is not an unbiased predictor of the U.S. corn cash price, and the biasedness is caused by the market inefficiency rather than the presence of risk premium.

목차

ABSTRACT

I. 머리말

II. 동경곡물거래소(TGE)의 옥수수 선물거래 현황

III. 분석자료

IV. 분석방법

1. 단위근 검정(unit root test)

2. 공적분(cointegration) 검정

3. 공적분 벡터(cointegrating vector)의 검정을 통한 불편성의 검정

4. 오차수정모형(ECM; error correction model)을 이용한 시장효율성의 검정

5/3. ARCH-M(ARCH in mean) 모형을 이용한 위험프리미엄의 검정

V. 분석결과

VI. 결론 및 시사점

참고문헌

키워드

Tokyo Grain Exchange(TGE) unbiasedness market efficiency risk premium Johansen cointegration test error correction model(ECM) ARCH-M model