다우존스산업평균지수선물(DJIA stock index futures) 거래량과 수익률간의 인과관계 분석

This study investigates the dynamic relationship among trading volume, return and open interests within DJIA(Dow Jones Industrial Average) stock index futures markets. To test several hypothesis, we introduce the financial time-series models such as Granger causality test, Impulse Response Analysis and variance decomposition based on vector autoregressive analysis(VAR). The main empirical results are as follows; We find that the returns of DJIA stock index futures has a forecasting power on the change of trading volume and open interest but not vice versa during the whole sample period. We also find that there is a feed-back influence between trading volume and open interest of DJIA stock index futures. According to the test results using the impulse response analysis and variance decomposition analysis, we find a similar empirical results with the Granger causality test. To understand the causality relationship among the trading volume, returns and open interest within DJIA stock index futures markets might be informative for the investors to set up investment and risk management strategy in order to enhance any portfolio valuation