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先物市場의 經濟的 機能에 관한 硏究 : 危險 轉嫁 機能을 中心으로
Futures trading has been developed as an instrument to maximize the efficiency in relatively free competitive markets. A primitive form of futures trading in rice emerged in Japan, in the 17 th century. Though exchanges of the early times were essentially cash markets dealing with buying and selling physical commodities, the increase of trade volume led the real sense of futures contract which guraranteed that the buyer and seller could reach a legal agreement to make or take delivery of a certain commodity at a disignated place and time in the future. The aim of this study is to make clear economic functions of futures markets with a detailed consideration of futures trading, and nextly, with Portfolio Hedging Model, to prove and analyze hedging ratio and effectiveness concerning risk transfering function. The data for this analysis are those of cash and future prices of Live Cattle trading in CME and the analysis is based on three criteria. 1. Hedge duration of one, two, four weeks. 2. contract maturity of futures [near(0-3) middle(5-7) long(10-12)] 3. hedge creteria based on price level, price change and price change ratio. The results of the empirical analysis are measured by OLS(Ordinary Least Square) and if Autocorrelation of the residuals exists, Cochrane-Orcutt Procedure was used to eliminate it. Regardless of hedge durations, the results show that Hedge ratio and Hedge effectiveness of the price level and price change ratio increased as future contract maturity becomes longer, analysis was also done according to contract muturity. The results were compared with Ederington's two hypotheses that Hedge effectiveness grows higher as hedge durations become longer and the longer the contract maturity was, the lower the hedge effectiveness was. The comparison confirmed the former hypothesis, but it proved just opposite to the latter. Consequently, the results of empirical analysis show that hedging ratio and effectiveness can be adequately regards as a risk averse means, one of the functions of futures markets. The economic functions of futures markets as mentioned above will help t o understand mechanism of futures trading. In conclusion, this empirical analysis proved that Live Cattle futures contracts are greatly effective to reduce price fluctuation risk. Much more efforts as well as futher study are needed to establish of domestic futures markets, to develop futures trading, and to train special futures traders.
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