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A Study on the Dynamic Relationships of Intraday Return and Volatility between Spot and Futures Prices of KOSPI200 using Off-diagonal BEKK of Engle & Kroner
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Engle & Kroner의 Off-diagonal BEKK를 이용한 KOSPI200 현물과 선물간의 일중 수익률과 변동성의 동적관계에 관한 연구

논문 기본 정보

Type
Academic journal
Author
Kyung-Soo Kim (강원대학교)
Journal
Korean Industrial Economic Association Journal of Industrial Economics and Business Vol.22 No.5 KCI Accredited Journals
Published
2009.10
Pages
2,525 - 2,553 (29page)

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A Study on the Dynamic Relationships of Intraday Return and Volatility between Spot and Futures Prices of KOSPI200 using Off-diagonal BEKK of Engle & Kroner
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The purpose of this study is to examine intraday interactions and to determine dynamic relationships of volatility through spillover effects between log(return) variables of KOSPI200 spot and those of futures markets using Off-diagonal BEKK model(Engle & Kroner 1995).
The major findings of this study can be summarized as follows.
First, all data had moderate reliability and validity except for daily data of return variables. Correlogram showed serial correlations between spot and futures, and unit root test showed certain autocorrelation where there were unit roots in spot and futures of log variables in 1, 5, and 15 minute data. But there was no unit root in daily futures and every return, In Johansen cointegration test on log variables of instable series, there was 1 cointegration vector showing cointegrating relations in each market.
Second, this study adopted VEC model in a conditional mean equation to test short-run dynamic adjustments and long-run equilibrium relationships between spot and futures, and also selected Off-diagonal BEKK model in a conditional volatility equation. 1 minute data had effects on the relation between spot and futures, indicating the existence of bidirectional mean spillover effects, but there was no conditional volatility spillover effects at all. And most of 5 and 15 minute data had effects from futures to spot, indicating the existence of unidirectional mean spillover effects. Both data had effects between spot and futures, suggesting bidirectional volatility spillover effects. Thus, futures market led spot market through mean spillover effects, and spot market led futures market or vice versa through volatility spillover effects between two markets. And 1 minute data showed significant short-run dynamic adjustment factors and the relationships of cointegration between two markets, so both spot and futures adjusted imbalanced conditions. In 5 and 15minute data, partial and short-run disequilibrium between futures and spot was dynamically adjusted, so the relationships of cointegration could be restored in the section of futures market.
Third, the results of VAR and Off-diagonal BEKK model were almost similar to those of previous model. 1 minute data of return variables had effects between spot and futures markets, demonstrating bidirectional conditional mean spillover effects, but there was no conditional volatility spillover effects at all. Most of 5 and 15 minute data had effects from futures to spot, showing unidirectional mean spillover effects, and also had effects between spot and futures, indicating bidirectional volatility spillover effects as well. Thus, futures market led spot market through mean spillover effects, and spot market led futures market or vice versa through volatility spillover effects.
Fourth, daily data showed significant log(return) variables in 1 lag, and had effects from spot to futures, indicating unidirectional conditional mean spillover effects as well as futures led by spot, but residual impact(volatility) had no effect between spot and futures, implying no conditional volatility spillover effects.
Finally, the results of this study are consistent with those of previous studies as it demonstrates the existence of interactions between spot and futures market through conditional mean spillover effects and the existence of dynamic relationships of volatility between two markets through conditional volatility spillover effects as shown in VEC, VAR and Off-diagonal BEKK model.


본 논문은 Engle & Kroner(1995)의 Off-diagonal BEKK모형을 이용하여 KOSPI200현물과 선물시장의 로그(수익률)변수간의 일중 상호작용 뿐만 아니라 두 시장의 변동성간의 전이효과를 통한 동적관계를 연구하고자 하였다.
본 연구를 요약하면, 첫째, 모든 자료의 신뢰도와 타당도결과는 수익률변수의 일별 자료를 제외하고 모두 적절하였다. 왜도는 1분의 현물, 선물, 일별자료가 정규분포에 비해 왼쪽으로 약간 비대칭적이고 두터운 꼬리를 나타내고 첨도는 일별 선물이 첨예분포를 나타내며 모든 자료가 정규분포를 나타내지 않았다. 상관도표에서 현물과 선물에 계열상관이 존재하고 단위근검정에서도 로그변수인 1분, 5분, 15분자료의 현물과 선물에서 단위근이 존재하여 자기상관이 나타났으나, 일별 선물과 모든 수익률들은 단위근이 존재하지 앉았다. 불안정시계열인 로그변수에 대한 요한센공적분결과에서 공적분관계를 나타내는 공적분벡터가 각 1개가 존재하였다. 둘째, 현물과 선물간의 단기동적조정과 장기균형관계를 검정하는 조건부 평균식인 VEC와 조건부 변동성식인 Off-diagonal BEKK모형의 결과에서, 1분자료는 현물과 선물시장간에 영향을 미쳐 양방향의 평균전이효과가 존재하였으나, 변동성전이효과가 존재하지 않았다. 반면에 5분과 15분자료는 대부분 선물시장에서 현물시장으로 영향을 미쳐 일방향의 평균전이효과가 존재하였고, 현물시장과 선물시장간에 모두 영향을 미쳐 양방향의 변동성전이효과가 존재하였다. 따라서 두 자료의 평균전이효과를 통해 선물시장이 현물시장을 선도할 뿐만 아니라 두 시장간에 변동성전이효과를 통해서도 현물시장(선물시장)이 선물시장(현물시장)을 선도하였다. 그리고 1분자료에서 단기동적조정계수가 유의하고 두 시장간의 공적분관계가 존재하여 현물시장과 선물시장이 모두 불균형조건을 조정하나, 반면에 5분과 15분자료에서 공적분관계가 선물시장의 부분에서 균형으로 회복하도록 선물시장이 부분적, 단기적으로 현묵시장과의 불균형을 동적으로 조정하였다. 셋째, VAR과 Off-diagonal BEKK모형의 결과는 앞의 결과와 거의 유사하게 수익률변수의 1분자료에서도 현물과 선물시장간에 영향을 미쳐 양방향의 평균전이효과가 존재하였으나, 변동성전이효과는 존재하지 않았다. 5분과 15분자료에서 대부분이 선물에서 현물시장으로 영향을 미쳐 일방향의 평균전이효과가 존재하였고, 현물과 선물시장간에 영향을 미쳐 양방향의 변동성전이효과가 존재하였다. 따라서 평균전이효과를 통해 선물이 현물시장을 선도할 뿐만 아니라 두 시장간에 변동성전이효과를 통해서도 현물시장(선물시장)이 선물시장(현물시장)을 선도하였다. 넷째, 수익률변수의 일별 자료에서 1시차의 로그(수익률)변수는 유의하여 현물에서 선물시장으로 영향을 미쳐 일방향의 평균전이효과를 나타내어 현물이 선물시장을 선도하였으나, 현물과 선물시장간의 잔차(변동성)의 충격은 상호간 영향을 미치지 못하여 변동성전이효과가 존재하지 않았다.
따라서 본 연구는 VEC, VAR, Off-diagonal BEKK모형에서 나타난 평균전이효과를 통해 선물시장과 현물시장의 로그(수익률)변수간의 일중 상호작용과 변동성전이효과 등을 통해 두 시장의 변동성간의 동적관계가 존재함을 확인하였다.
#BEKK #동적 #VEC #VAR #전이 #dynamic #spillover

Contents

Ⅰ. 서론
Ⅱ. 연구방법
Ⅲ. 자료 및 요약통계량
Ⅳ. 실증분석결과
Ⅴ. 요약 및 결론
참고문헌
Abstract

References (44)

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1. [학술지(정기간행물)] - 김솔 / 2000 / 주가지수선물과 주가지수의 가격발견기능에 관한 실증연구 / 선물연구 (7) : 87 ~ 144 google schola 2. [학술지(정기간행물)] - 김찬웅 / 2001 / 우리나라 주식,선물,옵션시장에서의 선도/지연효과에 관한 연구 / 재무관리연구 18 (1) : 129 ~ 156 google schola 3. [학술지(정기간행물)] - 남수현 / 1998 / KOSPI 200 선물시장과 현물시장간의 선도/지연 관계 / 대한경영학회지 (19) : 573 ~ 598 dbpia 4. [학술지(정기간행물)] - 김용 / 2001 / 환경회계를 위한 측정기법과 관리회계담당자의 역할 / 산업경제연구 14 (1) : 183 ~ 205 dbpia 5. [학술지(정기간행물)] - 문규현 / 2006 / 한국주식시장에서 거래량변화, 수익률 및 변동성간의 영향력 분석 / 대한경영학회지 19 (4) : 1441 ~ 1460 dbpia

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