통화 선물시장과 현물시장의 선도-지연 관계에 관한 실증분석

• 영문명: An Empirical Analysis on the Lead-Lag Relationship between Foreign Exchange Futures Market and Spot Market
• 발행기관: 한국무역연구원
• 저자명: 설성군(Xingqun Xue) 박세운(Sae-Woon Park)
• 간행물 정보: 『무역연구』제7권 제1호, 365~384쪽, 전체 20쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2011.03.30

영문 초록

The purpose of this paper is to examine the informational efficiency of foreign exchange market by analyzing lead-lag relationship between spot and futures. The time series of spot and futures foreign exchange markets of Japanese yen, Euro, Korean won and Mexican peso on a daily basis are used for this analysis. The research employs Bounds test, ARDL model to analyze cointegration relationship and Toda-Yamamoto causality test to detect causality relationship. The empirical tests suggest that there is cointegration relationship between spot and futures markets of each currency market. According to the results of Toda-Yamamoto test, there are interactive causality relationships between spot and futures markets of each currency market. For each currency market, the causality relationship from futures market to spot market is much stronger than the causality relationship from spot market to futures market. This study has originality in employing Bounds test, ARDL model and Toda-Yamamoto test to examine the possible risk transmission between spot and futures markets. In addition, a guide on how Bounds test and ARDL model can be applied to detect interactions among markets without data stationarity has been presented.

목차

Abstract

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 자료의 구성

Ⅳ. 연구 모형

Ⅴ. 실증분석결과

Ⅵ. 결론

참고문헌

키워드

futures market lead-lag bound test ARDL Toda-Yamamoto causality test