선물거래량과 가격변동성의 동적 관계

The purpose of this study is to investigate several hypotheses about the time series properties of price and trading volume, the short-term and long-term relationships between price and trading volume, and the determinants of trading volume using a stochastic equation of the Itô type. The data used in this study correspond to daily price and trading volume covering the time period from December 1999 to October 2002, three financial commodity futures contracts: KTB, USD, and KOSPI 200. The empirical results can be summarized as followsː First, Price and trading volume follow random walks and they are integrated of order 1. The first difference is necessary for satisfying the stationary conditions. Second, Price and trading volume are cointegrated. This long-run relationship is stronger from trading volume to price. Third, Error correction model suggests that in the long-run and the short-run, price tends to lead trading volume. Fourth, price volatility is a determinant of trading volume. In particular. trading volume is a positive function of price.