중국 위안화 선물의 가격발견기능 연구

This paper investigates the lead-lag relationship between Yuan spot and futures markets during the sample period covering from October 5, 2015 to October 27, 2016. To test the lead-lag relations between two variables, we estimated the Granger causality test and impulse response analysis based on the VAR(2) model. The major empirical results are as follows; First, according to unit-root test, the level variables of Yuan spot and futures are non-stationary but the returns data are stationary. Second, there are co-integration relations between Yuan spot and futures markets. Third, based on the Granger causality test, we find that there is a information transmission form Yuan spot market to Yuan futures market, but there is no price discover form Yuan futures to spot markets. Fourth, according to impulse response analysis, we find that the price discovery function of Yuan spot market is more dominant than that of Yuan futures market. From these empirical results we infer that due to the short history and trading volume problem, Yuan futures contracts’ price discover function does not work well. We also infer that Yuan spot market is relatively efficient than Yuan futures market.