돈육선물시장 분석 : 가격예측력, 인과관계, 효율성을 중심으로

Abstract

To determine the role of the lean hog futures market in Korea we investigate the following questions: Is the futures market is predictable of the spot market? Does the futures market improve the efficiency of the spot market? Does it stabilize the cash price volatility? We also analyze the existence of the long-run equilibrium between the spot and futures markets as it is important for price discovery. The results indicate that both the spot and futures markets are inefficient and the efficiency of the spot market is not improved with the introduction of the futures market. In addition, the futures market does not reduce cash price volatility. Despite the thin trade in the futures market, however, there exists a long-run equilibrium relationship and the short-run interdependent causality between the two markets. Some implications are drawn from the empirical results to stimulate trades in the futures market.