Earticle

초록

영어

The standard gold futures listed in 1999 in the Korean market appears unsuccessful because of its intermittent trade pattern. Nonetheless, Korea Exchange listed mini gold futures in September 2010. We first examine what leads investors to trade gold futures as well as what obstructs trade. We observe that high tax rate on gold trades in the Korean market make investors hesitate in trading gold in a legal market, and almost 50% of total traded gold is illicit. Therefore, the standard gold futures that deliver physical gold at a maturity date is not attractive to investors. Trades of the gold futures, however, sharply increase when the demand for importing gold increases, when the exchange-rate or political risk becomes heightened, and when the Korean stock market destabilizes. In contrast to our expectation, changes in gold prices seem not to stimulate trade of the gold futures. After figuring out the obstruction and cause of demand, we investigate whether the gold futures in the Korean market can meet this demand. In the results, the trading strategy designed for hedging or speculating exchange-rate and political risks produce significant positive returns. In addition, we show that efficient frontier can be significantly improved by including the gold futures into a portfolio with Korean stocks and bonds. Efficient frontier is much more improved when the gold futures is included than when S&P 500 index is added in a portfolio.

목차

Abstract
 Introduction
 Literature review
 Data
 Empirical examination
  1. Demand Analysis
  2. The adequacy of the gold futures on the demand
 Conclusion
 References
 Table

저자

• Jong-woon Hong [ Post doc. Institute of Finance and Banking in Seoul National University, ]
• Hyoung-jin Park [ Assistant professor in Seoul Women’s University ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330