국제 금 및 원유 선물시장의 거래정보는 글로벌 주식시장 수익률에 유의한 영향을 미치는가?

By using weekly data from 2002 to 2009, this paper analyzes empirically on whether information from gold and oil futures market trading activity affects the global stock return. Especially, the information is divided into commercial and non-commercial trading intention of market participants, and it is analyzed whether each trading information affects differently to the stock return. Main findings are as follows. First, increase of commercial long and short position in gold futures market results in going up and down of global stock return respectively. Second, increase of non-commercial long and short position in gold market has an effect on downward or upward of price in global stock market. Third, increase of commercial long and short position in oil futures market is the driving force bear or bull market respectively. Forth, increase of non-commercial long and short position affects on rise or fall of stock return. Five, increase of open interest contributes the rising of stock return except for that of open interest in non-commercial position. As a concluding remarks, it is need for active study on commodity market in terms of finding the price of financial market.