국내 선물시장의 장기기억과 시장의 효율성에 관한 연구
Long Memory and Market Efficiency in Korean Futures Markets
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
Purpose - This paper analyzes the market efficiency focusing on the long memory properties of the domestic futures market. By decomposing futures prices into yield and volatility and looking at the long memory properties of the time series, this study aims to understand the futures market pricing and change behavior and risks, specifically and in detail. Design/methodology/approach - This study analyzes KOSPI 200 futures, KOSDAQ 150 futures, 3 and 10-year government bond futures, US dollar futures, yen futures, and euro futures, which are among the most actively traded on the Korea Exchange. To analyze the long memory and market efficiency, we used the Variance Ratio, Rescaled-Range(R/S), Geweke and Porter-Hudak(GPH) tests as semi- parametric methods, and ARFIMA-FIGARCH model as the parametric method. Findings - It was found that all seven futures supported the efficiency market hypothesis because the property of long memory turned out not to exist in their yield curves. On the other hand, in futures volatility, all 7 futures showed long memory properties in the analysis, which means that if new information is generated in the domestic futures market and the market volatility once expanded due to the impact, it does not decrease or shrink for a long period of time, but continues to affect the volatility. Research implications or Originality - The results of this paper suggest that it can be useful information for predicting changes and risks of volatility in the domestic futures market. In particular, it was found that the long memory properties would be further strengthened in the currency futures and bond rate futures markets after the global financial crisis if the regime changes of the domestic financial market are taken into account in the analysis.
Abstract
Purpose - This paper analyzes the market efficiency focusing on the long memory properties of the domestic futures market. By decomposing futures prices into yield and volatility and looking at the long memory properties of the time series, this study aims to understand the futures market pricing and change behavior and risks, specifically and in detail. Design/methodology/approach - This study analyzes KOSPI 200 futures, KOSDAQ 150 futures, 3 and 10-year government bond futures, US dollar futures, yen futures, and euro futures, which are among the most actively traded on the Korea Exchange. To analyze the long memory and market efficiency, we used the Variance Ratio, Rescaled-Range(R/S), Geweke and Porter-Hudak(GPH) tests as semi- parametric methods, and ARFIMA-FIGARCH model as the parametric method. Findings - It was found that all seven futures supported the efficiency market hypothesis because the property of long memory turned out not to exist in their yield curves. On the other hand, in futures volatility, all 7 futures showed long memory properties in the analysis, which means that if new information is generated in the domestic futures market and the market volatility once expanded due to the impact, it does not decrease or shrink for a long period of time, but continues to affect the volatility. Research implications or Originality - The results of this paper suggest that it can be useful information for predicting changes and risks of volatility in the domestic futures market. In particular, it was found that the long memory properties would be further strengthened in the currency futures and bond rate futures markets after the global financial crisis if the regime changes of the domestic financial market are taken into account in the analysis.
참고문헌 (38)
- 강태훈, "기초자산시장과 옵션시장의 장기기억속성 비교에 관한 연구", Journal of The Korean Data Analysis Society, 17(3), pp.1397~1408 (2015), 한국자료분석학회
- 강태훈, "KOSPI 200 지수옵션가격에 내재된 Hurst지수", Journal of The Korean Data Analysis Society, 17(4), pp.2055~2067 (2015), 한국자료분석학회
- 우리나라 금융시장 변동요인 분석, "김남종", 금융연구원, ~ (2020)
- 노현승, "아시아 이머징 주식시장에서의 변동성 장기기억모형 예측력 분석", 金融工學硏究, 13(3), pp.27~49 (2014), 한국금융공학회[DOI]
- 박재곤, "장기기억 속성을 이용한 주가 변동성예측에 관한 연구", 금융연구, 23(4), pp.33~62 (2009), 한국금융학회
- 엄철준, "주식가격변화의 장기기억속성 존재 및 영향요인에 대한 실증연구", 재무관리연구, 24(3), pp.63~89 (2007), 한국재무관리학회
- 윤성민, "한국 금융시장 장기기억 특성의 시간가변성", Journal of The Korean Data Analysis Society, 13(5), pp.2561~2572 (2011), 한국자료분석학회
- 이정형, "한국선물시장의 수익률과 변동성에 대한 장기기억 특성", Journal of The Korean Data Analysis Society, 6(4), pp.1063~1072 (2004), 한국자료분석학회
- 이지현, "FIGARCH모형을 이용한 주가 수익률 변동성의 장기기억에 관한 연구", 선물연구, 10(2), pp.4~114 (2002), 한국파생상품학회
- 최상규, "KOSPI200 수익률 변동성의 장기기억과정탐색", 한국산학기술학회논문지, 15(12), pp.7018~7024 (2014), 한국산학기술학회[DOI]
- 홍정훈, "우리나라 주식수익률에 있어서의 장기적 기억에 관한 연구", 금융연구, 12(2), pp.57~76 (1998)
- Andersen, T., "Intraday Periodicity and Volatility Persistence in Financial Markets", Journal of Empirical Finance, 4, pp.115~158 (1997)
- Andersen, T., "The Distribution of Realized Exchange Rate Volatility", Journal of the American Statistical Association, 96(453), pp.42~55 (2001)
- Andersen, T., "Modeling and Forecasting Realized Volatility", Econometrica, 71, pp.579~625 (2003)
- Baillie, T. R., "Long Memory Processes and Fractional Integration in Econometrics", Journal of Econometrics, 73, pp.5~59 (1996)
- Baillie, R. T., "Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 74, pp.3~30 (1996)
- Beran, J., "Statistics for Long-memory Processes", Journal of the Royal Statistical Society, 49(3), pp.434~436 (2000)
- Cajueiro, D., "Ranking Efficiency for Emerging Markets", Chaos, Solitons & Fractals, 22(2), pp.349~352 (2004)
- Cajueiro, D., "The Hurst Exponent Over Time : Testing the Assertion that Emerging Markets Are Becoming More Efficient", Physica A: Statistical Mechanics and its Applications, 336(3-4), pp.521~537 (2004)
- Choi, K., "Long Memory in Oil and Refined Product Markets", The Energy Journal, 30, pp.97~116 (2009)
- Crato, N., "Long Range Dependence in the Conditional Variance of Stock Returns", Economic Letters, 45, pp.281~285 (1994)
- Darrat, A. F., "On Testing the Random-Walk Hypothesis: A Model Comparison Approach", The Financial Review, 35(3), pp.105~124 (2000)
- Ding, Z., "A Long Memory Property of Stock Returns and A New Model", Journal of Empirical Finance, 1, pp.83~106 (1993)
- Ding, Z., "Modeling Volatility Persistence of Speculative Returns; A New Approach", Journal of Econometrics, 73, pp.185~215 (1996)
- Fama, E. F., "The Behavior of Stock Market Prices", Journal of Business, 38(1), pp.34~105 (1965)
- Geweke, J., "The Estimation and Application of Long Memory Time Series Models", The Journal of Time Series Analysis, 4(4), pp.221~238 (1983)
- Henry, T., "Long Memory in Stock Returns : Some International Evidence", Journal Applied Financial Economics, 12(10), pp.725~729 (2002)
- Hull, M., "Do Emerging Markets Become More Efficient as They Develop? Long Memory Persistence in Equity Indices", Emerging Markets Review, 18, pp.45~61 (2014)
- 강상훈, "한국 주식시장의 이원적 장기기억 특성", 경제연구, 24(2), pp.259~286 (2006), 한국경제통상학회
- Lo, A. W., "Long-Term Memory in Stock Market Prices", Econometrica, 59(5), pp.1279~1313 (1991)
- Lo, A. W., "Stock Market Prices Do Not Follow Random Walks : Evidence from A Simple Specification Test", Review of Financial Studies, 1(1), pp.41~66 (1988)
- Mandelbrot, B. B., "A Fast Fractional Gaussian Noise Generator", Water Resources Research, 7(3), pp.543~553 (1971)
- Mandelbrot, B. B., "Fractals and Scaling in Finance: Discontinuity, Concentration, Risk", pp.1~551 (1997), Springer Publishing Company
- The Efficiency of the Japanese Equity Market, "Nagayasu, J.", IMF, 1~23, pp.IMF Working Paper, WP (2003), 03[DOI]
- Osborne, M. F. M., "Brownian Motion in the Stock Market", Operations Research, 7, pp.145~173 (1959)
- Qian, B., "Stock Market Prediction with Multiple Classifiers", Applied Intelligence, 26, pp.25~33 (2007)
- Su, J. J., "On the Power of the Multivariate KPSS Test of Stationarity Against Fractionally Integrated Alternatives", Applied Economics Letters, 10, pp.637~641 (2003)
- Tolvi, J., "Long Memory and Outliers in Stock Market Return", Applied Financial Economics, 13, pp.495~502 (2003)