시간척도와 외환시장의 효율성: 무리행동과 정보전달
Time Scale and and Efficiency of Foreign Exchange Market: Herd Behavior and Information Transmission
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초록
본 연구의 목적은 금융시장에서 무리행동이 발생하는 원인 및 확산과정, 그리고 그것이 수익률의 변동에 미치는 효과를 설명하는 모형을 제시하고, 그 모형을 이용하여 금융시장 효율성이 시간척도에 따라 달라지는지를 알아보는 것이다. 이를 위하여 Cont-Bouchaud(2000)의 스며들기모형을 발전시켜 무리행동을 설명할 수 있는 간단한 모형을 작성하고, 일본 외환시장에서 거래된 엔-달러 환율의 수익률의 자료를 이용한 컴퓨터 시뮬레이션을 실시하였다. 연구결과에 따르면 일본 외환시장에서는 정보전달 과정의 문제로 인한 무리행동이 존재하며, 정규분포에서 나타날 수 있는 것보다 더 큰 규모로 무리집단이 형성되고 있으며, 시간척도가 단기일수록 정보전달이 불충분하여 무리행동이 더 크고 빈번하게 발생하는 것으로 나타났다. 이러한 사실은 외환시장의 효율성이 시간척도에 의존한다는 것을 의미한다.
Abstract
The purpose of this paper is to build a model that can explain the cause and the diffusion process of herd behavior and its effect on return volatility in financial market and to investigate whether market efficiency depends on the time scale. To do this we make a simple herding model, which is a extended version of percolation model introduced by Cont-Bouchaud (2000). After the execution of computer simulation using the returns data of Tokyo Yen-Dollar foreign exchange market, we find that the problem of information transmission can induce herd behavior in the market and that the sharp fluctuations of returns can be illustrated by herding of market participants. We also find that the size of herd clusters is bigger than is expected from Gaussian distribution and that in the short-run there are some trouble in the process of information transmission and herding appears more frequently. This means that the efficiency of market depends on the time scale.
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