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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제13권 제2호
- 발행연도
- 2011.1
- 수록면
- 553 - 566 (14page)
이용수
초록· 키워드
오류제보하기
This study examines what lead investors to trade gold futures as well as what obstruct trade in the Korean gold futures market. We observe that high tax rate on gold trades make investors hesitate in trading gold in a legal market. Trades of the gold futures, however, sharply increase when the demand for importing gold increases, when the exchange-rate or political risk becomes heightened, and when the Korean stock market destabilizes. In contrast to our expectation, changes in gold prices seem not to stimulate trade of the gold futures. Then, we investigate whether the gold futures in the Korean market can meet investors' demand. The trading strategy produce significant positive returns. In addition, efficient frontier can be significantly improved by including the gold futures into a portfolio with Korean stocks and bonds.
목차
등록된 정보가 없습니다.
참고문헌 (8)
참고문헌 신청
Black,F / 1976 / Studies in Stock Price Volatility Changes, In American Statistical Association / Proceedings of the Business and Economic Statistics Section : 177 ~ 181
IMF / 2009 / Annual Report Data on Official Foreign Exchange Reserves
Richards,A / 2004 / Big fish in small ponds: the trading behavior and price impact of foreign investors in Asian emerging equity markets / Journal of Financial Quantitative A
김희성 / 2005 / 최근 세계 선물거래소시장의 신상품의 추이와 성공 상품의 특징 / Journal of The Korean Data Analysis Society 7 (4) : 1463 ~ 1474
박종해 / 2008 / KOSPI200 지수선물시장에서의 변동성 전이효과에 관한 연구 / Journal of The Korean Data Analysis Society 10 (6) : 3361 ~ 3372
IMF / 2009 / Annual Report Data on Official Foreign Exchange Reserves
Richards,A / 2004 / Big fish in small ponds: the trading behavior and price impact of foreign investors in Asian emerging equity markets / Journal of Financial Quantitative A
김희성 / 2005 / 최근 세계 선물거래소시장의 신상품의 추이와 성공 상품의 특징 / Journal of The Korean Data Analysis Society 7 (4) : 1463 ~ 1474
박종해 / 2008 / KOSPI200 지수선물시장에서의 변동성 전이효과에 관한 연구 / Journal of The Korean Data Analysis Society 10 (6) : 3361 ~ 3372
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