한국 돈육선물과 현물시장간의 인과성 연구 = An Analysis on the Causality between Lean Hog Futures Market and Lean Hog Spot Market

다국어 초록 (Multilingual Abstract)

The price discovery mechanism is the process of determining the price of an asset in the marketplace through the interactions of available information including one market and other related markets. So usually price discovery accepted an important research topic in finance helps find the exact price for an asset. I empirically examine the causality between lean hog spot market and lean hog futures market. The analysis employs the VAR, Granger causality, impulse response function and variance decomposition using daily data from 7/21/2008-5/15/2013. The most important findings are as follows.
The findings in this paper indicate that the stationary test results provide evidence that both lean hog futures rate of return and lean hog spot rate of return have stationary. Hence, the Granger Causality test proves one-way causality relationships from the lean hog futures market to the lean hog spot market. So the lean hog futures price has predictive power for the lean hog spot price.
The impulse reponses show that it takes four days to reflect information shocks from the lean hog futures market to the lean hog spot market. Also, the results of variance decomposition show that the lean hog futures market is a stronger influence over the lean hog spot market than the lean hog spot market impacts on lean hog futures market. The overall results suggest that the dominant influence runs from the lean hog futures market to the lean hog spot market; new information disseminating from the lean hog futures market to the lean hog spot market immediately reflected in the lean hog markets.