Journal of Information Technology Applications and Management

Korea Data Strategy Society (한국데이터전략학회)
권호 표지
DOI QR코드

DOI QR Code

Trading Risk Reduction Effects for Currency Futures Markets

통화선물거래의 거래위험 감소효과에 관한 연구

  • 최흥식 (국민대학교 경영대학 경영정보학부) ;
  • 김선웅 (국민대학교 비즈니스IT전문대학원) ;
  • 박은진 (국민대학교 비즈니스IT전문대학원)
  • Received : 2014.02.28
  • Accepted : 2014.07.29
  • Published : 2014.12.31
Download PDF
⟨ Previous Next ⟩

Abstract

This study aims to show the risk reduction effects of round-the-clock trading environment. We analyse the trading results of the currency futures contracts in CME Globex which are open 23 hours a day. These include Euro FX, Japanese Yen, Australian Dollar, and British Pound from January 2005 to August 2013. We generate new price series using only daytime prices during about 7-hour period. This hypothetical "G" data series may have greater gap risk than the original "R" data series. Empirical results show the trading risk reduction effects, that is R data series have higher profits and lower risks than G data series.

Keywords