원·달러 선물환과 통화선물시장의 효율성 측정 및 비교 = The Measurement and Comparison of the Relative Efficiency for Won-Dollar Currency Futures and Forward Exchange Markets

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 표본자료
• Ⅲ. 연구방법론
• Ⅳ. 실증분석
• Ⅴ. 요약 및 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

1 "한국선도환시장의 효율성검증" 13 (13): 187-214, 2000

2 "한국 통화선물시장의 불편기대가설과 가격발견성과" 34 (34): 1-28, 2005

3 "원/달러 환율에 대한 불편선물환가설 검증 외환위기 전후 비교" 15 (15): 151-188, 2002

4 "원/달러 선물환시장의 위험프리미엄에 관한 연구" (15) : 51-76, 1998

5 "역외선물환시장의 효율성에 관한 연구" 24 (24): 63-82, 1999

6 "역외 원/달러 차액결제 선물환 시장의 불편성과 효율성" 18 (18): 2259-2279, 2005

7 "Time Varying Distributions and Dynamic Hedging with Foreign Currency Futures Journal of Financial and Quantitative Analysis" 535-551, 1993

8 "The Relative Efficiency of Commodity Futures Markets" (19) : 413-432, 1999

9 "The Forward Pricing Function of the Shipping Freight Futures Market" 19 (19): 353-376, 1999

10 "The Economics of Futures Markets" Basil Blackwell 1986

11 "The Economics of Exchange Rates" (33) : 13-47, 1995

12 "The Covariance of Risk Premium and Expected Future Spot Exchange Rates Journal of International Money and Finance" 1986

13 "Testing for Unit Root in Time Series Regression" 335-346, 1988

14 "Testing Rational Expectations and Efficiency in Foreign Exchange Market" eco (eco): 553-563, 1983

15 "Statistical Analysis of Cointegration Vectors Journal of Economic Dynamics and Control" 231-254, 1988

16 "Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money Oxford Bulletin of Economics and Statistics" 169-210, 1990

17 "Journal of Monetary Economics" 321-336, 1983

18 "Journal of Monetary Economics" 319-338, 1984

19 "Journal of Business" 435-451, 1981

20 "Information Theory and an Extension of the Maximum Likelihood Principle Second International Symposium on Information Theory" 1973

21 "Implications of Recent Empirical Findings Journal of International Money and Finance" 135-152, 1986

22 "Forward Exchange Rate as Optimal Predictors of Future Spot Rates Journal of Political Economy" 829-853, 1980

23 "Finite-sample Sizes of Johansen's Likelihood Ratio Test for Cointegration Oxford Bulletin of Economics and Statistics" 313-328, 1993

24 "Evidence on Unit Roots Journal of Financial and Quantitative Analysis" 245-267, 1991

25 "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models" eco (eco): 1551-1580, 1991

26 "Efficient Tests for Normality and Serial Independence of Regression Residuals" 225-259, 1980

27 "Econometric Tests of Rationality and Market Efficiency" 121-156, 1989

28 "Comparisons of Tests for Multivarivate Cointegration" 335-359, 1992

29 "Cointegration Tests of the Unbiasedness Expectation Hypothesis in Metals Markets The Journal of Futures Markets" 753-763, 1993

30 "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets" (30) : 23-42, 1995

31 "An Investigation of Risk and Return in Forward Foreign Exchange Journal of International Money and Finance" 5-29, 1984

32 "An Applications to the Sterling and Deutschemark Exchange Markets Journal of International Money and Finance" 75-88, 1989

33 "ARCH Effects and Cointegration: Is the Foreign Exchange Market Efficient" (20) : 687-697, 1996