한국조리학회지 (Culinary science and hospitality research)

  • 제23권2호
  • /
  • Pages.126-134
  • /
  • 2017
  • /
  • 2466-0752(pISSN)
  • /
  • 2466-1023(eISSN)
한국조리학회 (Culinary Society of Korean Academy)
권호 표지
DOI QR코드

DOI QR Code

돈육선물의 가격발견에 관한 연구

A Study on the Price Discovery of Lean Hog Futures

  • Byun, Youngtae (Dept. of Business Administration, Kyungsung University)
  • 투고 : 2017.01.31
  • 심사 : 2017.02.20
  • 발행 : 2017.02.28
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

본 연구의 목적은 우리나라 돈육 선물시장이 현물시장에 대해 가격발견기능을 제대로 수행하고 있는지를 알아보는 것이다. 이러한 분석을 위해 2011년 1월 5일부터 2012년 12월 28일까지 자료가 사용되었다. 연구의 주요 결과는 다음과 같다. 첫째, 돈육 선물과 현물가격은 장기적으로 균형관계가 존재하는 것으로 나타났다. 둘째, 오차수정모형의 오차수정계수를 이용한 분석에서는 돈육 선물시장이 현물시장에 대해 가격발견기능의 역할을 주도적으로 수행하는 것으로 나타났다. 셋째, Gonzalo와 Granger(1995)와 Hasbrouck(1995)가 제시한 방법론에 따라 GG 정보비율과 Hasbrouck 정보비율 분석에 의하면 우리나라의 돈육 선물시장은 현물시장에 대해 가격발견에 있어서 강하지는 않지만, 어느 정도 우월한 역할을 하고 있는 것으로 나타났다.

The purpose of this paper was to examine the dynamics of the price discovery function between lean hog futures and spot markets using the vector error correction model (VECM). The researcher also investigated the existence of the long-run equilibrium relationship between the lean hog futures and spot markets. Daily time series data of lean hog futures and spot observed in the Korean market during the period from 5 Jan. 2011 to 28 Dec. 2012 were analyzed. To examine the price discovery, this study employed the Gonzalo and Granger's (1995) information ratio and Hasbrock's (1995) information ratio measurement method. The significant findings of the study are summarized as follows. First, lean hog futures and spot market are significantly correlated. Secondly, the lean hog future market plays a more dominant role in price discovery than the spot market. Finally, price discovery measures based on the VECM suggested that the lean hog future market plays a more dominant role in price discovery than the lean hog spot market. This is the important systematic empirical work to find the relationship between the lean hog future and spot market.

키워드

참고문헌

  1. Baba, N., & Inada, M. (2009). Price discovery of subordinated credit spreads for Japanese Mega-Banks: Evidence from bond and credit default swap markets. Journal of International Financial Markets Institutions and Money, 19, 616-632. https://doi.org/10.1016/j.intfin.2008.10.003
  2. Bae, K. H., & Jang, S. J. (2003). A comparative analysis of informational efficiency of KOSDAQ50 and KOSPI200 index futures. Korea Journal of Futures and Option, 11(2), 27-49.
  3. Chan, K. (1992). A further analysis of the lead-lag relationship between the cash market and stock index futures market. Review of Financial Studies, 5(1), 123-152. https://doi.org/10.1093/rfs/5.1.123
  4. Chan, K., Chan, K. C., & Karolyi, G. A. (1991). Intraday volatility in the stock index and stock index futures markets. Review of Financial Studies, 4, 657-684. https://doi.org/10.1093/rfs/4.4.657
  5. Engle, R. F., & Granger, C. W. (1987). Co-integrated and error correction: Representation. estimation and testing. Econometrica, 55(2), 251-276. https://doi.org/10.2307/1913236
  6. Gonzalo, J., & Granger, C. (1995). Estimation of common long-memory components in cointegrated systems. Journal of Business and Economic Statistics, 13, 27-35.
  7. Granger, C. W. J., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2, 111-120. https://doi.org/10.1016/0304-4076(74)90034-7
  8. Han, D. H. (2013). An analysis on the causality between lean hog futures market and lean hog spot market. The Journal of Reign Business, 36(2), 1-15.
  9. Hasbrouck, J. (1995). One security, many markets: Determining the contributions to price discovery. Journal of Finance, 50(4), 1175-1199. https://doi.org/10.1111/j.1540-6261.1995.tb04054.x
  10. Imai, M. (2007). The emergence of market monitoring in Japanese banks: Evidence from the subordinated debt market. Journal of Banking and Finance, 31, 1441-1460. https://doi.org/10.1016/j.jbankfin.2006.07.007
  11. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580. https://doi.org/10.2307/2938278
  12. Kang, S. K. (2009). A study on the price discovery in Korea stock index markets: KODEX200, KOSPI200, and KOSPI-200 futures. Korea Journal of Futures and Option, 17(3), 67-97.
  13. Kawaller, I. G., Koch, P. D., & Koch, T. W. (1990). Intraday relationships between volatility in S&P500 futures prices and volatility in the S&P500 index. Journal of Banking and Finance, 14, 373-397. https://doi.org/10.1016/0378-4266(90)90055-7
  14. Kim, H. B., & Kang, S. H. (2009). Price discovery and transmission mechanism between CDS and FX markets. Korea Journal of Futures and Option, 19(1), 37-58.
  15. Kim, S. H., & Byun, Y. T. (2012). The impact of macroeconomic variables on food and beverage stock index. Food Service Industry Journal, 8(3), 75-95.
  16. Koutmos, G., & Tucker, M. (1996). Temporal relationships and dynamic interactions between spot and futures stock markets. The Journal of Futures Markets, 16, 55-69. https://doi.org/10.1002/(SICI)1096-9934(199602)16:1<55::AID-FUT3>3.0.CO;2-G
  17. Lee, W. B. (2006). An empirical analysis on change in price discovery of KOSPI200 futures through market maturity process. Korea Journal of Futures and Option, 14(2), 51-77.
  18. Lee, W. B., Kim, J. O., & Woo, M. C. (2010). The information content of open limit order book in price discovery of KOSPI200 index futures market. Korea Journal of Futures and Option, 18(1), 1-42.
  19. Lee, W. B., & Park, J. W. (2016). A study on price discovery between options and futures markets: The case of KOSPI 200 derivatives markets. Journal of Money & Finance, 30(2), 1-44.
  20. Lee, C. S., & Yang, S. R. (2013). An analysis of the lean hog futures market: Price predictability, causality and efficiency. Korean Journal of Agricultural Management and Policy, 40(2), 400-429.
  21. Oh, S. K. (2002). Intraday volatility in the Korean stock index and Korean stock index futures markets. Korea Journal of futures and Option, 10(1), 51-77.
  22. Park, Y. K., & Binh, K. B. (2013). The price discovery and volatility transmission between Korean won, Chinese yuan, and Japanese yen. Asian Review of Financial Research, 26(4), 447-483.
  23. Stoll, H. R., & Whaley, R. E. (1990). The dynamics of stock index and stock index futures returns. Journal of Financial and Quantitative Analysis, 25, 441-468. https://doi.org/10.2307/2331010