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통화선물시장과 현물환 시장의 연계성 분석 : 원/달러, 엔/달러를 중심으로 The cases of Japan and Korea
사공용,정재식 서강대학교 경제학연구원 2004 시장경제연구 Vol.33 No.1
We investigate the empirical relationship between trading volumes and spot foreign exchange rates of Korean won (KRW/USD) and Japanese yen (JPY/USD) against the US dollar. We analyze the relationship using two different trading volumes (spot and currency futures) and realized volatility measured by high-frequency (two-minute) data (Andersen, Bollersleve, Diebold and Labys (2003)). It is found for the KRW/USD and the JPY/USD that there is a contemporaneous positive correlation between two trading volumes and volatilities. Such relation, however, does not appear consistently when historical volatility is used as proxy forvolatility. Also, empirical results suggfest that dynamic relations between volumes and volatility are very different in both foreign exchange markets. The difference in both foreign exchange markets comes either (or both) from under developed hedging markets or from market inefficiency in KRW/USD foreign exchange market.