농상품선물시장의 가격변동성과 거래량간의 관계
A Study on the Relationship between Trading Volume and Price Volatility in Commodity Futures Markets: a comparison of Japanese and the US cases
- 한국농식품정책학회
- 농업경영.정책연구
- 농업경영·정책연구 30권 3호
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2003.09373 - 386 (14 pages)
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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 not the day effect without regard to trading method. And the asymmetric volatility does not exist from the con futures without regard to trading method. However, the findings from the Bessembinder and Seguin models that CBOT more TGE is becoming information means where the lagged trading volume is beneficial in the price risk management.
Abstract
I. 서론
II. 분석 모형
III. 분석자료 및 추정결과
V. 결론
참고문헌
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