상품선물시장에서 가격변동성 분석

• 영문명: An Analysis of Price Volatility in Commodity Futures Market between : US and Japan Grain Futures Markets
• 발행기관: 한국농식품정책학회
• 저자명: 연규영
• 간행물 정보: 『농업경영.정책연구』농업경영·정책연구 29권 2호, 334~348쪽, 전체 15쪽
• 주제분류: 농수해양 > 식품과학
• 파일형태: PDF
• 발행일자: 2002.06.30

영문 초록

The objective of this paper is to comparative analyze Corn futures price volatility and trading volume relationships between continuous trading method and single price session trading method. In this paper, empirical analysis shows that Corn futures have the GARCH effect without regard to trading method. The findings from the GARCH models that current and lagged trading volume can also explain current prices volatility in continuous trading. Hence, trading volumes are an adequate proxy for the rate of information flow. However, current and lagged trading volume have not relation current price volatility in single price session trading method.

목차

Abstract

Ⅰ. 서론

Ⅱ. 선행연구고찰

Ⅲ. 선물가격의 변동성 분석 모형

Ⅲ. 데이터 및 실증분석

Ⅳ. 요약 및 결론

참고문헌

키워드

Volatility Continuous Trading Method Single Price Session Trading Method GARCH Trading Volume Com Futures