뉴욕(New York) 원달러 역외선물환시장(NDF)의 가격발견기능 연구

This paper studies the price discovery between the New York one month won/dollar non-deliverable forward(“NDFs) and Seoul cash markets during the sample period covering from March 13, 2009 to August 31, 2018. We estimated the correlation analysis, ADF and PP test, co-integration test, vector autoregressive model, vector error correction model, Granger causality test and GARCH(1,1)-M models. The major empirical results are as follows; First, the level variables of won/dollar NDFs and spot prices are non-stationary but the price changes are stationary. We also find that there is a co-integration relation between the two level variables during the whole sample period with a significant level. Second, there is a positive relation between won/dollar NDFs and spot markets and we find a bilateral information transmission between won/dollar NDFs and cash markets. However, the influence from won/dollar spot to NDFs is relatively more strong than the vice versa. Third, according to the GARCH(1,1)-M, there is a volatility cluster effect and a conditional mean and volatility spillovers from the NDFs to cash markets with a statistically significant level. From these empirical results we infer that the won/dollar NDFs are performing the price discovery function very well but in terms of information efficiency aspects, the won/dollar spot market is relatively more efficient than the New York won/dollar NDFs market.