외환전자중개와 환율변동성
Foreign Exchange Electronic Broking System (EBS) and Exchange Rate Volatility
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초록
본 연구에서는 외환거래에 있어서 전자거래의 확산이 환율변동성에 어떠한 영향을 미치는가를 이론적, 실증적으로 분석하였다. 이론적으로는 전자거래의 증가가 환율변동성을 증가시키는 요인과 감소시키는 요인이 함께 존재하여 시장의 성격에 따라 결정됨을 보이고 있다. 2002년 10월 18일부터 2003년 12월 15일까지 서울외국환중개(주)의 은행간 현물환거래 자료를 이용하여 분석한 결과 외환거래에서 전자거래의 비율이 증가함에 따라 환율변동성이 감소하여 시장을 안정화시키는 효과가 있는 것으로 밝혀졌다.
Abstract
The Effect of Electronic Brokery System on foreign exchange rate volatility is analyzed theoretically and empirically. Theoretically there can be increasing or decreasing effect of electronic trading on the volatility depending on the characteristics of the market. Using daily foreign exchange rate and trading volume data from October 18, 2002 to December 15, 2003 provided by Seoul Money Brokerage Services, LTD., the increase in the ratio of foreign exchange electronic trading to the total trading both in volume and number criterion, proved to decrease the volatility defined as both unconditional variance and conditional variance from GARCH.
참고문헌 (36)
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