The purpose of this paper is three-fold. First, we attempt to examine whether futures trading reduces price volatility of underlying asset focusing won/dollar futures market in Korea during April 1999～April 2001. Second, we figure out the influence of foreign investors' speculative trading of currency futures on the price volatility during January～June 2001. Third, we analyze the interaction between offshore NDF rates, foreign investors' speculative trading of currency futures and domestic spot exchange rates. The VAR is estimated to achieve the empirical objective using the daily and intraday data of currency futures trading volume, futures price, and spot bid/ask quote.
The major findings of the paper are as follows. First, the daily data analysis shows futures trading has positive impact on the price volatility in the spot market. Spot quotes responded positively on the speculative trading as well. With the intraday data futures trading reduced futures price volatility but increased spot quotes volatility. Second, we found there is no significant influence of foreign investors' speculative futures trading on futures and spot price volatility. Finally, offshore NDF price volatility gave inconsistent influence to spot quote volatility depending on lag but had no impact on foreign investors' speculative trading of currency futures.
통화선물거래가 현물환 가격변동성에 미치는 영향력 분석(The effect of currency derivatives trading on spot price volatility)
[서울] : 한국금융연구원
|Series Title; No||금융조사보고서 / 2002-05|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|