돈육선물시장의 헤징기능과 정보전달에 관한 연구

• 영문명: Hedging Function and Information Transmission in Lean Hog Futures Markets
• 발행기관: 한국농업경제학회
• 저자명: 윤병삼(Byung-sam Yoon)
• 간행물 정보: 『농업경제연구』53권 2호, 55~71쪽, 전체 17쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2012.06.30

영문 초록

It has been over 3 years since lean hog futures contract was listed, but the lean hog futures itself does not serve as an effective risk management tool yet due to the lack of liquidity. The primary objective of this study is to examine the hedging function of lean hog futures market and the information transmission between lean hog spot and futures markets. The results show that there exists no statistically significant basis risk in lean hog futures market, and the hedging effectiveness measured by R2 tens to be very low. The granger causality test reveals that unidirectional causality runs from lean hog futures prices to representative pork prices(`pork carcass price index ), and there exists bidirectional causality(feedback) between lean hog futures prices and average auctioned prices in Seoul(Eumseong) livestock wholesale market. Based on the findings, this study suggests that the underlying asset of lean hog futures should be changed into hog carcasses rather than the current representative pork price(`pork carcass price index ).

목차

Ⅰ. 서 론

Ⅱ. 돈육선물의 계약명세 및 돈육대표가격

Ⅲ. 분석자료 및 분석방법

Ⅳ. 분석결과

Ⅴ. 요약 및 결론

키워드

Lean hog futures basis risk hedge ratio hedging effectiveness VAR model Granger causality