동북아 석유선물시장의 가격 변동성 정보 흐름

• 발행기관: 고려대학교 글로벌일본연구원
• 저자명: 김은영 김창수
• 간행물 정보: 『일본연구』第11輯, 241~258쪽, 전체 18쪽
• 주제분류: 사회과학 > 지역학
• 파일형태: PDF
• 발행일자: 2009.02.20

영문 초록

The analysis on information transmission of price and price volatility among petroleum futures markets of Japan, China, and the United States using bivariate AR-ARCH models shows the following results. First, NYMEX crude oil futures market has a dominant position over the other petroleum futures markets in terms of price and price volatility information flow. Second, TOCOM petroleum futures market has been playing its role as a price-setter in Asia and it's been exchanging price information quite briskly with the overseas petroleum markets. Nonetheless, any price volatility information feedback has not been made among TOCOM, SHFE, and NYMEX markets.

목차

1. 서론

2. 분석자료

3. 분석방법과 결과

4. 결론

참고문헌

키워드

Japan China petroleum futures price information transmission VAR-GARCH model