3년 국채선물의 일중 시간별 헤지성과 및 가격발견 연구
A Study on the Hedge Performance and Market Efficiency of Intraday KTB 3years’ Futures Market Against Spot Markets
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본 연구에서는 시간대별 일중 3년물 국채선물시장의 현물시장에 대한 가격발견기능과 적정헤지비율 및 헤지성과를 분석하였다. 전체분석기간은 2013년 1월 2일부터 2018년 3월 30일까지이며, 그랜즈 인과관계, 벡터자기회귀분석모형, 벡터오차수정모형 및 최소분산헤지모형 등을 추정하였다. 분석결과, 시간대별 3년물 국채선물과 현물가격은 단위근이 존재하는 불안정한 자료이나, 각 수익률자료들은 모두 단위근이 존재하지 않는 것으로 나타났다. 또한 시간대별 3년물 국채선물과 현물가격사이에는 장기적인 균형관계가 존재하고 있으며, 두 변수의 수익률사이에는 통계적으로 유의한 양방향적인 인과관계가 존재하나 국채선물시장의 영향력이 상대적으로 더 강한 것으로 나타났다. 적정헤지비율은 벡터오차수정모형(VECM: vector auto correction model)이 전통적인 Ederington(1979)의 최소분산헤지모형(minimum variance hedge model)보다 상대적으로 더 높으며 헤지성과(hedge performance)도 내표본 및 외표본기간 모두 벡터오차수정모형 더 높은 것으로 나타났다. 헤지성과도 최소분산헤지모형보다 벡터오차수정모형이 더 나은 것으로 나타났다. 이러한 분석결과로부터 시간대별 3년물 국채선물시장이 파생상품의 고유기능인 가격발견기능과 헤지기능을 적절히 수행하고 있으며, 3년물 국채선물시장의 시장효율성이 3년물 국채현물시장보다 더 높은 시장임을 추론해 볼 수 있다.
Abstract
This paper investigates the hedge performance and lead-lag relationship between the 3 years Korea treasury bond(“KTB”) futures and cash markets. The whole sample period is covered from the January 2, 2013 to August 30, 2018. We made use of the hourly intraday data and Ederington(1979)’s minimum variance hedge model and vector error correction model(“VECM”) as well as a Granger causality test based on VECM(2). The major empirical results are as follows; First, the level variables of the hourly intraday KTB futures and spot data are non-stationary but the return data are stationary without a unit root with a significant level. Second, there is a long-run relation between the level variables of the 3 years’ KTB futures and spot data. Third, according to the Granger causality tests, we find that there is a bilateral information transmission between the hourly 3 years KTB futures and spot markets but the influence of KTB futures market is dominant with a statistically significant level. Fourth, according to the optimal hedge ratio, the VECM’s hedge ratio is relatively higher than that of Ederington(1979)’s minimum variance hedge ratio both within and out-of sample periods. Fifth, we also find that the hedge performance of VECM is much higher than that of the minimum variance hedge model both within and out-of sample periods. From these empirical results we infer that the 3 years’ KTB futures contract is doing well the price discovery and hedge functions and KTB futures market is more efficient than the KTB spot markets.
참고문헌 (28)
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