This assertion focuses on the relationship between price changes of US dollar futures and US dollar spots using the 5-minute price data for the period of 1999.5.19~ 2001.09.14 in Korea. In this assertion, cointegration test, Granger causality test, error correction model and GARCH model are used. From the cointegration test between US dollar futures market and spots markets, the stable relationship between the two markets has been noticed. Using error correction model, lead from the futures markets to the spots markets has been noticed. Specifically futures markets lead 15 minutes and spots markets have 5 minutes feedback effect. Through Granger causality test and error correction model between Non Deliverable Forwards(NDF) and US dollar futures, leads from the US dollar futures to NDF has been shown. This assertion also investigates the time effects to the futures market with 7 subgroups. In early period since Korea Futures Exchange was opened, there was lead from spots markets to the futures markets. But as time goes on, the lead-lag relation was reversed. To examine the intraday behavior in the US dollar futures and spots markets, this assertion used GARCH(1,1) model. In early session of trading hours, intraday volatility of price changes reached the highest point and then intraday volatility decreased.
