서지주요정보
한국 통화선물시장과 통화현물시장의 관계에 대한 실증연구 = An analysis of the Relationship between the US dollar futures and spots markets In Korea
서명 / 저자 한국 통화선물시장과 통화현물시장의 관계에 대한 실증연구 = An analysis of the Relationship between the US dollar futures and spots markets In Korea / 우영진.
저자명 우영진 ; Woo, Young-Jin
발행사항 [대전 : 한국과학기술원, 2002].
Online Access 원문보기 원문인쇄

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등록번호

8013210

소장위치/청구기호

학술문화관(문화관) 보존서고

MGSM 02095

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도서상태

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반납예정일

등록번호

9008728

소장위치/청구기호

서울 학위논문 서가

MGSM 02095 c. 2

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초록정보

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.

서지기타정보

서지기타정보
청구기호 {MGSM 02095
형태사항 iv, 43 p. : 삽도 ; 26 cm
언어 한국어
일반주기 부록 : Ⅰ, 〈분석대상 집단별 Granger 인과 검증 결과 : 시차(lag) 5~8〉
저자명의 영문표기 : Young-Jin Woo
지도교수의 한글표기 : 김동석
지도교수의 영문표기 : Tong-Suk Kim
학위논문 학위논문(석사) - 한국과학기술원 : 금융공학전공,
서지주기 참고문헌 : p. 40-42
주제 통화선물
달러선물
정보전달
선도지연
US Dollar Futures
lead lag
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