Earticle

초록

영어

This study examines trading activity for gold futures contracts in twelve countries. Because of the severe lack of liquidity, in nine of the gold futures markets, we assess them as dysfunctional markets. In the regression analysis, we analyze what factors significantly affect gold futures trade. The regression analysis is performed for liquid markets in three countries: COMEX, USA; SFE, China; and TOCOM, Japan. In the result of this paper, the demand for speculation on gold is shown as a common factor to boost gold futures trades in all markets. The hedge demand for the depreciation of the dollar motivates investors only in SFE, and in the same market exchange rate risk has a negligible impact on trades. On the other hand, exchange rate risk discourages investors in TOCOM to trade gold futures. The investigation which is focused on exchange rate risk shows that investors, only in a market where the variation of exchange rate triggers positive larger variances in gold futures prices, seem to be reluctant to trade gold futures during the period with highly volatile exchange rate. Lastly, we conclude that success of a gold futures market is up to the extent of exposure to exchange rate risk as well as the amount of speculation or hedging.

목차

Abstract
 1. Introduction
 2. Literature Review
 3. Data
 4. Analysis of Trading Demands
  4.1 Market Summary
  4.2 Regression Analysis
  4.3 Impact of Exchange-rate Risk on Trading Demands
 5. Conclusion
 Reference
 Table
 Figure

키워드

저자

• Jongwoon Hong [ Korea Asset Pricing ]
• Hyoung-jin Park [ 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