일중 포스코 개별주식 선물 시장의 선도-지연, 미결제약정수량 유용성 및 정보의 비대칭성 연구

We study the lead-lag, conditional mean and variance spillover and information asymmetric effects in the POSCO individual stock futures and cash markets. For this purpose, we estimated the Granger causality test and time varying Nelson (1991)’s EGARCH model. The whole sample period is covered from January 2, 2017 to March 31, 2019. We use the indra-day five (5) minutes data of the near-by POSCO individual stock futures and spot returns as well as open interests. The major empirical results are as follows; To begin with, there is a bilateral positive lead-lag relationship between POSCO stock futures and spot returns and the price discovery function of futures return is more dominant. We also find that the open interest of POSCO futures has a positive influence on the returns and volatility of POSCO futures and spot markets. On the other hand, there is no information asymmetric effect between POSCO individual stock futures and spot markets with a statistically significant level. From these empirical results, we infer that the price discovery of POSCO individual stock futures is relatively well functioned and there is a positive relationship among the open interests, returns and volatility but the volatility asymmetric effect is not consistent with previous literatures. We hope that these empirical results would be informative for stock markets investors to set up a investment and risk management strategies as well as policy makers.