• Korea Trade Review
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• v.47 no.4
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• pp.177-195
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• 2022

This study analyzed the volatility spillover effect between international non-ferrous metal futures markets using the BEKK-GARCH model. Statistical data are futures price data of copper (CU), aluminum (AL), nickel (NI), tin (SN) from Shanghai Futures Exchange (SHFE) and London Metal Exchange (LME) from April 1, 2015 to December 31, 2021. Combining the research results, first, in the case of copper, aluminum, and nickel, it was found that there was a two-way volatility spillover effect between the Shanghai and London markets, and the international influence of the London market was greater. Second, in the case of the tin, it was found that the Shanghai market has a volatility spillover effect on the London market from stage I, and it is strengthened in stage II. Third, in the case of nickel, it was found that there was a two-way volatility spillover effect in the first stage, but in the second stage, the London market had a unidirectional volatility spillover effect with respect to the Shanghai market. This study confirmed that China's influence in the international non-ferrous metal futures market is gradually increasing. In addition, it suggested that international investors can engage in arbitrage and hedging using China's non-ferrous metal futures market.

• Management & Information Systems Review
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• v.32 no.3
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• pp.285-297
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• 2013

In this study, price discovery among the KOSPI200 markets(KOSPI200 spot, KOSPI200 Futures and The ETFs) is investigated using the vector error correction model(VECM). The main findings are as follows. KODEX200(KOSEF200), KOSPI200 spot and Futures are cointegrated in most cases. Daily data from KODEX200(KOSEF200), KOSPI200 spot and KOSPI200 futures show that the movements of the three markets are interrelated. Specially, KODEX200 contains the most information, followed by the KOSPI200 spot and futures markets. KODEX200 contribute to the price discovery process. Namely KODEX200 plays a more dominant role in price discovery than the KOSPI200 spot and futures.

• Management & Information Systems Review
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• v.32 no.4
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• pp.189-207
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• 2013

Using high-frequency data for 2 years, this study investigates intraday lead-lag relationship between stock index and stock index futures markets in Korea and China. We found that there are some differences in price discovery and volatility transmission between Korea and China after the stock index futures markets was introduced. Following Stoll-Whaley(1990) and Chan(1992), the multiple regression is estimated to examine the lead-lag patterns between the two markets by Newey-West's(1987) heteroskedasticity and autocorrelation consistent covariance matrix(HAC matrix). Empirical results of KOSPI 200 shows that the futures market leads the cash market and weak evidence that the cash market leads the futures market. New market information disseminates in the futures market before the stock market with index arbitrageurs then stepping in quickly to bring the cost-of-carry relation back into alignment. The regression tests for the conditional volatility which is estimated using EGARCH model do not show that there is a clear pattern of the futures market leading the stock market in terms of the volatility even though controlling nonsynchronous trading effects. This implies that information in price innovations that originate in the futures market is transmitted to the volatility of the cash market. Empirical results of CSI 300 shows that the cash market is found to play a more dominant role in the price discovery process after the Chinese index started a sharp decline immediately after the stock index futures were introduced. The new stock index futures markets does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures markets. Based on EGAECH model, the results uncover strong bi-directional dependence in the intraday volatility of both markets.

• The Journal of Fisheries Business Administration
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• v.40 no.1
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• pp.51-74
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• 2009

The purpose of this study is to ascertain that how the futures market of the Japanese frozen shrimp that is the only fisheries asset all over the world can be efficient. Accordingly, this paper examines efficiency and information flow of the Japanese frozen shrimp market using data from Kansai Commodities Exchange frozen shrimp futures closing prices and spot prices. And then this paper estimates a forward price model using that data. From the model, risk premium is estimated and we could also analyse the future information flow into the futures market which reveals future spot prices. This thesis reached to conclusions as follows: First, the null of zero risk premium is rejected and the value of that is negative. Second, the time pattern of information flow into the futures market is that most of the information on future price arrives within a week and for the last week, most of relevant information is already incorporated. The result of this study contrasts with that of Stockman(1978) about currency futures market of U.S.

• Management & Information Systems Review
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• v.30 no.2
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• pp.257-275
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• 2011

The price relationship between the futures market and the underlying spot market has attracted the attention of academics, practitioners, and regulators due to their roles during periods of turbulence in financial markets. The purpose of this paper is to investigate the dynamic of price relationship(or lead-lag relationship) between Korean Treasury Bond futures market and spot market. To examine the nature of the price relationship, descriptive statistics, serial correlation, and cross-correlation are used as a preliminary statistics in the Korean Treasury Bond spot and futures market. Next, following Stoll-Whaley(1990) and Chan(1992), the multiple regression method is used to examine the lead-lag patterns between the two markets. The empirical results are summarized as follows. The mean returns of spot markets and future markets are positive(+) and negative(-) respectively and the standard deviation of both stock and futures returns increase through the sub-periods. For the most periods, there is negative skewness in the both markets. The zero excess kurtosis due to the heavy tails of the distribution are relatively large. The autocorrelations in the spot returns for the sample periods are positive in time lag 1, but the autocorrelations in the future returns shows no significant evidence. The results of the daily cross-correlations between the KTB spot and futures returns indicate that a lead-lag relationship don't exist for price changes of futures and spot markets as a preliminary analysis. Finally, empirical results of regression analysis for both market indicate that there is no evidence that the KTB futures lead the KTB spot market, or the KTB spot market lead the KTB futures market. These results are robust for all sub-periods.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.5 no.6
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• pp.580-587
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• 2004

The purpose of this study is to examine if the trading volume can apply to the short-term forecasting of the futures price change by verificating the casuality between trading volume and futures price in the KOSPI 200 futures market. The outcome of the research is summarized as follows. In the analysis of subordinate periods, based on the yearly time segments, trading volume were found to lead futures price. As for trading volume, it was under comparably greater influence of its self of the past than the return rate of futures. In the analysis of subordinate periods, based on the trend of the futures market, trading volume lead return rate of futures feebly in a bull market. But return rate of futures lead trading volume significantly in a bearish market.

• The Korean Journal of Financial Management
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• v.23 no.1
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• pp.49-67
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• 2006

This study examines whether won/dollar futures have price discovery function and volatility spillover effect or not, using intraday won/dollar futures prices, volumes, and spot rates for the interval from March 2, 2005 through May 30, 2005. Futures prices and spot rates are non-stationary, but there is the cointegration relationship between two time series. Futures returns, spot returns, and volumes are stationary. Asymmetric effects on volatility in futures returns and spot returns does not exist. Analytical results of mean equations of the BGARCH-EC (bivariate GARCH-error correction) model show that the increase of futures returns raise spot returns after 5 minutes, which implies that futures returns lead spot returns and won/dollar futures have price discovery function. In addition, the long-run equilibrium relationship between the two returns could help forecast spot returns. Analytical results of variance equations indicate that short-run innovations in the futures market positively affect the conditional variances of spot returns, that is, there is the volatility spillover effect in the won/dollar futures market. A dummy variable of volumes does not have an effect on two returns but influences significantly on two conditional variances.

• Journal of The Korean Digital Architecture Interior Association
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• v.12 no.1
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• pp.35-43
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• 2012

This study aimed to seek a method capable of hedging a rising risk of housing rent price by introducing derivatives with the target of Korean housing rent markets. The research model used in this thesis progressed a research by applying a futures contract method with the target of the rent price of major apartments in Gangnam and Gangbuk Regions of Seoul. As an analysis result, the rent price of all complexes has risen during its analysis period, so it could be confirmed that the CRB future index was also risen according to this. Finally, it was confirmed that the rising risk of the rent price can be hedged through a purchase position of futures. But, as the difference between rent price variation and CRB future index variation occurs, it appeared that 100% of hedge is difficult. However, it is judged that if considering that a method capable of hedging the rising risk of the existing rent price was nonexistent, the hedge trading effect utilizing the CRB future index on the rent price will be meaningful.

• The Korean Journal of Financial Management
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• v.20 no.1
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• pp.191-212
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• 2003

Recently, there is a growing body of literature that suggests that information inefficiency is one of the causes of the asymmetric volatility. If this explanation for the asymmetric volatility is appropriate, then innovations, such as the introduction of futures, may be expected to impact the asymmetric volatility of stock market. As transaction costs and margin requirements in the futures market are lower than those in the spot market, new information is transmitted to futures prices more quickly and affects spot prices through arbitrage trading with spots. Also, the merit of the futures market may attract noise traders away from the spot market to the futures market. This study examines the impact of futures on the asymmetry of stock market volatility. If the asymmetric volatility is significant lower post-futures and exist in the futures market, it has validity that the asymmetric volatility is caused by information inefficiency in the spot market. The data examined are daily logarithmic returns on KOSPI 200 stock price index from January 4, 1993 to December 26, 2000. To examine the existence of the asymmetric volatility in the futures market, logarithmic returns on KOSPI 200 futures are used from May 4, 1996 to December 26, 2000. We used a conditional mode of TGARCH(threshold GARCH) of Glosten, Jagannathan and Runkel(1993). Pre-futures the spot market exhibits significant asymmetric responses of volatility to news and post-futures asymmetries are significantly lower, irrespective of bear market and bull market. The results suggest that the introduction of stock index futures has an effect on the asymmetric volatility of the spot market and are inconsistent with leverage being the sole explanation of asymmetry. However, it is found that the volatility of futures is not so asymmetric as expected.

• The Journal of Fisheries Business Administration
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• v.41 no.1
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• pp.73-91
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• 2010

The objective of this study is to examine the hedging effectiveness of shrimp futures market. Hedging effectiveness is measured by OLS model based on rolling windows. Analysis data are obtained from Kansai Commodities Exchange in Osaka and are weekly data of frozen shrimp futures and cash prices in the time period from July 9, 2003, to May 9, 2007. The empirical results are summarized as follows:First, the correlation coefficients between the nearby futures price changes and the cash(16/20) price changes are very low and have range from 0.141 to 0.208 values. Second, the minimum variance hedge ratios($\hat{\beta}$) are all statistically different from 0 at the 5% level and range from 0.0477 to 0.5039 values excluding Indian shrimps(26/30). Ex post hedging effectiveness, as measured by the coefficient of determination, $R^2$, is relatively very low and range from a low of 0.4% for west-south Indian shrimps(26/30) to a high 4.3% for Vietnamese shrimps(16/20). Third, ex ante hedging effectiveness, as measured by out-of-sample hedging period, is also very low and range from a low of -4.4% for west-south Indian shrimps(21/25) to a high of 3.4% for Vietnamese shrimps(16/20). This indicates that the shrimp futures market doesn't behave as risk management instrument of shrimp spot.