EUA선물과 현물시장의 거래량 정보효과
Relationship between Trading Volume and Volatility in EUA Spot and Futures Markets
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본 연구에서는 EUA선물시장과 현물시장의 거래량과 가격변동간의 관계를 TGARCH 모형을 이용하여 분석한다. 분석결과, EUA변동성은 Phase I에서 양의 지속성(GARCH효과)이 나타났으며 현물변동이 선물변동보다 일간 가격변화에 더 민감한 것으로 나타났다. 또한 당일의 거래량 증가는 현물변동성을 증가시키지만 변동성의 비대칭성은 감소시키는 것으로 나타났고, 선물의 경우 거래량 증가는 변동성을 오히려 감소시키는 것으로 나타났다. 따라서 상대적으로 혼합분포 가설을 지지하는 것으로 해석되는데 전일의 거래량이 증가할 경우에도 유의한 영향을 주기 때문에 순차적 정보도착 가설도 지지하는 것으로 나타났다. Phase II에서 거래량은 변동성의 비대칭성과 변동성의 변화에 모두 영향을 주지 못하고 있어 혼합분포 가설을 지지하지 못하는 것으로 나타났다. 반면, 현물시장과 선물시장 모두 전일의 거래량이 증가할 경우 변동성의 비대칭성이 증가하며 상대적으로 순차적 정보도착 가설을 일부 지지하는 것으로 나타났다. 결론적으로, Phase I과 Phase II에서의 거래량에 대한 EUA 가격변동의 영향은 서로 다르게 나타나며, EUA의 이월이 허용된 Phase II 시장에서 거래량정보에 대한 시장 효율성이 상대적으로 감소했다는 실증결과를 얻었다.
Abstract
This article examine the relation between trading volume and price volatility in EUA spot and futures markets using TGARCH Model. Based on the result, the price volatility of EUA presented the positive persistence of volatility (GARCH effect) in Phase I and it was more sensitive to daily price changes in spot market than futures market. Trading volume of the day increased price volatility but decreased the asymmetry of volatility in spot market, while decreased the price volatility in futures market. This result suggest that the mixture distribution hypothesis is supported and also sequential information arrival hypothesis is supported in trading volume of previous day affect the price volatility Significantly. On the other hands, trading volume din’t affect both price volatility and the asymmetry of volatility in Phase II which meant the mixture distribution hypothesis was not supported but was relatively supported sequential information arrival hypothesis increasing the asymmetry of volatility and the in both spot and futures market. In conclusion, Price changes of EUA by trading volume in Phase I differed from those in Phase II, and we obtained the empirical evidence that market became less efficient in Phase II than in Phase I.
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