Culinary science and hospitality research (한국조리학회지)

Culinary Society of Korean Academy (한국조리학회)
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A Study on the Price Discovery of Lean Hog Futures

돈육선물의 가격발견에 관한 연구

  • Byun, Youngtae (Dept. of Business Administration, Kyungsung University)
  • Received : 2017.01.31
  • Accepted : 2017.02.20
  • Published : 2017.02.28
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Abstract

The purpose of this paper was to examine the dynamics of the price discovery function between lean hog futures and spot markets using the vector error correction model (VECM). The researcher also investigated the existence of the long-run equilibrium relationship between the lean hog futures and spot markets. Daily time series data of lean hog futures and spot observed in the Korean market during the period from 5 Jan. 2011 to 28 Dec. 2012 were analyzed. To examine the price discovery, this study employed the Gonzalo and Granger's (1995) information ratio and Hasbrock's (1995) information ratio measurement method. The significant findings of the study are summarized as follows. First, lean hog futures and spot market are significantly correlated. Secondly, the lean hog future market plays a more dominant role in price discovery than the spot market. Finally, price discovery measures based on the VECM suggested that the lean hog future market plays a more dominant role in price discovery than the lean hog spot market. This is the important systematic empirical work to find the relationship between the lean hog future and spot market.

본 연구의 목적은 우리나라 돈육 선물시장이 현물시장에 대해 가격발견기능을 제대로 수행하고 있는지를 알아보는 것이다. 이러한 분석을 위해 2011년 1월 5일부터 2012년 12월 28일까지 자료가 사용되었다. 연구의 주요 결과는 다음과 같다. 첫째, 돈육 선물과 현물가격은 장기적으로 균형관계가 존재하는 것으로 나타났다. 둘째, 오차수정모형의 오차수정계수를 이용한 분석에서는 돈육 선물시장이 현물시장에 대해 가격발견기능의 역할을 주도적으로 수행하는 것으로 나타났다. 셋째, Gonzalo와 Granger(1995)와 Hasbrouck(1995)가 제시한 방법론에 따라 GG 정보비율과 Hasbrouck 정보비율 분석에 의하면 우리나라의 돈육 선물시장은 현물시장에 대해 가격발견에 있어서 강하지는 않지만, 어느 정도 우월한 역할을 하고 있는 것으로 나타났다.

Keywords

References

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