상품선물시장에서 가격변동성 분석

An Analysis of Price Volatility in Commodity Futures Market between : US and Japan Grain Futures Markets

The objective of this paper is to comparative analyze Corn futures price volatility and trading volume relationships between continuous trading method and single price session trading method. In this paper, empirical analysis shows that Corn futures have the GARCH effect without regard to trading method. The findings from the GARCH models that current and lagged trading volume can also explain current prices volatility in continuous trading. Hence, trading volumes are an adequate proxy for the rate of information flow. However, current and lagged trading volume have not relation current price volatility in single price session trading method.