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Information Transmission Mechanism between Individual Stock and Futures Return in Korea
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개별주식 현․선물시장간의 선도/지연효과

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Type
Academic journal
Author
Journal
한국금융공학회 金融工學硏究 金融工學硏究 제10권 제1호 KCI Accredited Journals
Published
2011.1
Pages
51 - 66 (16page)

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Information Transmission Mechanism between Individual Stock and Futures Return in Korea
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Abstract· Keywords

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We examine the information transmission mechanism between individual stock returns and futures returns of representatives of each industry in Korea, especially, Samsung Electronics(IT/Electronics), Shinsegae Department(Logistics), Woori Financial Group(Financial Industry), Korea Electronic Power(Power), Hyundai Heavy Industries(shipbuilding), Hyundai Motors(Cars/Motor), KT&G (Tobaco), Korea Telecommunication(Telecom/IT), Pohang Steel(Steel). The sample period covers from May 6, 2008 to March 22, 2010 employing VAR model. The main findings are as follows:The futrues returns of Samsung Electronics, Shinsegae Department, Woori Financial Group, Korea Electronic Power, Hyundai Heavy Industries, Hyundai Motors, KT&G, Korea Telecommunication except Pohang Steel have predictive power for the spot returns from Granger causality test. The dynamic impulse responses also show that it takes two or three days to reflect information stocks from individual futures returns to spot returns. The variance decomposition shows that the changes of returns of Korea Telecommunication, Hyundai Motors and Korea Electronic Power are dependent on those of futures, in particular. This study suggests that individual stock futures can have the important rule of the price discovery of individual stock movement matching the one of main purposes of the introduction of futures products. In addition, this paper is the first to show the information transmission mechanism between individual spot returns and futures returns in Korea.
#개별주식현물 #개별주식선물 #정보전달메커니즘 #VAR 모형 #Individual Stock Return #Individual Stock Futures Return #Information Transmission Mechanism #VAR Model

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References (9)

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Abhyankar, A. H. / 1995 / Return and Volatility Dynamics in the FT-SE100 Stock Futures Markets / Journal of Futures Markets 15 (4) : 457 ~ 488 google schola Fung J. K. W. / 2008 / Efficiency of Single-stock Futures: An Intraday Analysis / Journal of Futures Markets 28 (6) : 518 ~ 536 google schola Kawaller, I. / 1987 / Intraday Relationships between the Volatility in S&P 500 Futures Prices and the Volatility in S&P 500 Index / Journal of Banking and Finance 14 google schola Kawaller, I. / 1987 / The Temporal Price Relationship between S&P 500 Futures and S&P 500 Index / Journal of Finance 42 : 1309 ~ 1329 google schola Stoll, H. R. / 1990 / The Dynamics of Stock Index and Stock Index Futures Returns / Journal of Financial and Quantitative Analysis 25 : 441 ~ 468 google schola

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