우리 나라 국채선물 수익률과 현물 수익률간의 선도-지연관계 분석

Abstract

This study is firstly to examine the lead-lag relationship between spot and futures prices of Korea Treasury Bond (KTB) by using daily return data from 29 September 1998 to 18 August 2000. Five kinds of futures are listed on Korea Futures Exchange (KOFEX) since the launching of April 1999. KTB futures grew as an important futures since the listing on the KOFEX on 28th September 1999 and now the trade volume of KTB futures is the largest among the listed futures. Bank, investment trust, insurance companies and foreigners are major investors of KTB futures. KTB's main financial function is to provide risk management system for mid-term interest rate instrument and to discover its price in the future as well. In particular, this thesis focuses on the function of price discovery of futures over the expected spot price.

The price of KTB futures reflects the future interest level which financial institutions or company experts could predict. Therefore, KTB futures could be seen as predicting a proper price for spot goods and plays a role of discovering the future value of KTB. There is time difference between spot and futures prices of KTB. We utilize unit root test, cointegration test, vector error correction models in order to examine the relationship between spot and futures returns.

The main finding of this thesis is that the futures price of KTB leads the spot price of KTB. That is, the futures price leads two days prior to the expected spot price. Moreover, two market's lead-lag relationship could be influenced by the trading volume of KTB futures. Then, an empirical analysis of futures prices of June and September 2000 exhibits that the spot price leads the futures price. Therefore, it is argued that there is a feedback relationship between spot and futures of KTB and the infrequent trading has an impact on the relationship between spot and futures prices. Even though the relationship between spot and futures prices are not stable, our finding indicates that the discovery function of futures over the expected spot price is working in the Korea Futures Exchange.

Then, the period of our study is too short to investigate in depth of the lead-lag relationship between spot and futures prices. Because of this limitation, we could not examine the difference of two markets's microstructure such as price volatility, trade pattern and so on. Therefore, it is thought that we could not find correct reasons about the lead-lag relationship of two markets. With the passage of KOFEX history, the trading volume and the efficiency of information will be increased with by the growth of participants of this market and then we could explore more on the lead-lag relationship between spot and futures prices of KTB.