국제 골드 현물과 선물시장사이의 정보전달메커니즘에 관한 실증적 연구
An Empirical Study on the Information Transmission Mechanism Among Korea, USA and UK Gold Spot and Futures Markets
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초록
본 연구는 2010년 9월 13일부터 2015년 6월 2일까지 한국의 미니골드 현·선물시장, 영국의 골드현물시장 및 미국의 골드선물시장사이의 선도-지연(lead-lag)에 대한 실증분석을 실시하였다. 이를 위하여 VECM(4)모형에 기초를 둔 Granger 인과관계분석, 충격반응함수분석을 실시하였으며 주요 실증분석결과는 다음과 같다. 첫째, 각 국의 금 현물과 선물시장사이의 동조화현상이 통계적으로 유의한 수준에서 존재하고 있는 것으로 나타났다. 둘째, 한국의 미니골드 현·선물시장의 경우, 두 시장사이에는 피드백적인 선도-지연관계가 존재하고 있으나 레버리지효과가 존재하고 있는 미니 골드 선물시장의 현물시장에 대한 영향력이 지배적인 것으로 나타났다. 셋째, 한국의 미니골드 현물과 선물시장에 대하여 미국 금 선물시장과 영국 금 현물시장 모두 통계적으로 유의한 수준에서 영향력을 미치고 있으나 영국 금 현물시장의 영향력이 미국 금 선물시장보다 상대적으로 더 강한 것으로 나타났다. 넷째, 미국 금 선물시장과 영국 금 현물시장사이의 선도-지연관계를 분석한 결과, 두 시장사이에는 피드백적인 영향력을 미치고 있으나 영국 금 현물시장의 미국 금 선물시장에 대한 영향력이 상대적으로 더 강한 것으로 나타났다. 마지막으로 한국의 미니골드 선물과 미국의 금 선물시장사이의 영향력이 한국의 미니골드 현물과 영국의 금 현물시장사이의 영향력보다 상대적으로 더 강한 것으로 나타났다. 이는 현물시장간보다 선물시장간의 정보전달이 더 효율적임을 보여주고 있다. 이러한 실증분석결과는 한국, 미국 및 영국 금 시장이 비효율적인 시장임을 지지하는 간접적인 증거로 볼 수 있으며 또한 투자자들의 투자전략 및 정책당국자들의 금 시장 활성화 방안마련에 다소나마 도움을 줄 수 있을 것으로 보여진다.
Abstract
This paper examines the lead-lag and co-movement among Korea, USA and UK gold spot and futures markets during the sample period covering from September 10, 2010 to June 2, 2015. To test the lead-lag relations, we estimated the Granger causality test and impulse response analysis based on the VECM(vector error correction model). The major empirical results are as follows; First, there are co-integration relations between gold spot and futures prices of Korea, USA and UK. Second, we find that there is a co-movement among the three countries’ gold spot or futures markets with a statistically significant level. Third, we also find that Korea’s mini-gold spot and futures markets are influenced by USA gold futures and UK gold spot market’s returns. But the impact form UK gold spot market to Korea gold spot and futures markets are more dominant than that from US gold futures to Korea gold markets. Fourth, we find that the information transmission between Korea and US gold futures is more efficient than that between Korea and UK gold spot market returns. From these empirical results we infer that Korea, USA and UK gold spot and futures markets are inefficient market. We hope these results would be a little bit helpful for gold market investors and policy maker to set up investment and risk management strategyin Korea, USA and UK.
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