원/달러 換率의 實現變動性과 外換 去來量과의 관계
Information Flow and Trading Volume in Seoul Foreign Exchange Market
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초록
본 연구는 원/달러 외환시장에서 거래량(통화선물, 현물환)과 변동성이 동시적 (contemporaneous) 또는 피드백 관계를 갖는지를 실증분석한다. 거래량은 통화 선물과 현물환 시장 자료를, 변동성은 2분 간격으로 관찰되는 고빈도 자료를 이 용하였다. 통화선물거래량과 변동성은 동시적 뿐만 아니라 피드백 관계를 갖는 반면 현물거래량과 변동성은 동시적 관계만을 갖는 것으로 분석되었다. 결국 원/ 달러 외환시장은 혼합분포가설(mixture distribution hypothesis)과 순차적 정보 모형(sequential information model)의 이론의 복합적인 형태를 갖고 있는 것으 로 해석된다.
Abstract
We investigate the empirical relationship between trading volumes and spot foreign exchange rates of Korean Won against the US dollar. We investigate the relationship using two different trade volumes (spot and futures) and realized volatility measured by high-frequency (tow-minute) data (Andersen, Bollerslev, Diebold and Labys (2003)). It is found for the KRW/USD that there is a contempoaneous positive correlation between the tow trading volumes and volatilities. Such a relationship, however, does not appear consistent when historical volatility is used. Also, empirical research suggests that dynamic relationships between volume and volatility are very different in the market.
참고문헌 (17)
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