일중 원 달러 선물시장에서 거래량의 정보이전, 변동성군집 및 레버리지효과에 관한 연구

This study examines the lead-lag relation, conditional mean and volatility spillover effect, volatility cluster and leverage effect in the won/dollar futures market. For this purposes, we use the nearby won/dollar futures’ hourly closing price and trading volume data. The whole sample period is covered from September 17, 2007 to February 21, 2018. We have estimated Granger causality test, vector autoregressive analysis (VAR). time-varying GARCH (1, 1), GARCH (1, 1)-M and GJR-GARCH (1, 1)-M etc. The major empirical results are as follows; First, there is a co-integration relation between the level variables of won/dollar intraday hourly futures price and trading volume. Second, according to Granger causality test, there is a bilateral lead-lag relationship between the returns variables and trading volume of won/dollar intraday futures market but the influence of the returns to the changes of trading volume is relatively more dominant than the one of trading volume to returns with a statistically significant level. Theese empirical results are consistent with the those of the two sub-sample periods Third, according to the GARCH model, there is a volatility clustering effects with the intraday won/dollar futures market. Fourth, based on the GARCH (1, 1)-M model, there is a conditional mean and volatility spillover effect from the changes of trading volume to returns in the won/dollar futures. Fifth, we also find an information asymmetric effect, that is a leverage effect in the won/dollar futures market. From these empirical results, we infer that these kinds of results support the sequential information arrival hypothesis and the won/dollar futures market is a inefficient.