원/엔 통화선물시장에서의 수익률, 거래량 및 미결제약정간의 선도-지연관계에 관한 실증적 연구

This study tests the dynamic relationship among trading volumes and return in Won-Yen currency futures market as well as Won-Yen currency spot market. For this purpose, i employ the Granger causality test, Variance Decomposition and Impulse Response Analysis with Vector autoregressive(VAR) analysis. The main empirical results are as follows;First, i find that there is a co-integration relation among level variables in Won-Yen spot and futures markets. Second, i find that the returns of Won-Yen futures market has an impact on the movement of Won-Yen futures trading volume. I also find that the trading volume of Won-Yen futures market have a great predictability on the returns of Won-Yen futures. The impact of trading volume to returns of Won-Yen futures market is much more strong and persistent than that of returns of Won-Yen futures market to trading volume. The test results using the impulse response analysis and variance decomposition analysis is similar to that of Granger causality test. To understand the lead-lag relationship among the trading volume, open interests and returns in Won-Yen cash and futures markets are helpful for the investors to build up a risk management system and investment strategy.