Crude Oil Market Efficiency Considering Endogenous Structure Breaks

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Vol. 49, No. 3 O2012PG pp. 319-327

ٛ঍ୡ֜୺࣡ฃࠜճߙ෉଀କਏୋଭตଘনंজ

׌ࢢ஺

Â ෛଠڇ

Crude Oil Market Efficiency Considering Endogenous Structure Breaks

Minji Kim and Eunnyeong Heo

Abstract : The aim of this study is to analyze the crude oil market efficiency in terms of the opinion proposed by Hansen(1992) and B.S.Kim(1992). The data sample consists of monthly observation of spot and futures price of WTI crude oil covering period from September 1986 to December 2011. Test for endogenous structural break point of the time series is based on the Zivot-Andrews(1992) and Gregory-Hansen(1996) test. Efficient market hypothesis was partially rejected When considering endogenous structural break points. In addition, market efficiency depends on the different maturity in futures and crude oil futures in NYMEX do not act the role of the hedge against the volatility risk in the spot market. Therefore, new indicators will be needed.

Key words : Market efficiency, Structure Break, Zivot-Andrews, Gregory-Hansen

څ أ ٍ҆ĵəǴԦۺĵܓѺজ֨۾ںČͲॠيɑچԜغä͒ՙقԴä͒ʼəWTI ইНф1,2,3,4ÒښН

ԸН֨ۤۆমڱՁںқԵॠٕɰ. ǴԦۺĵܓѺজεČͲॠݓ؍ںąڍ, 1986ț9ښҙࢢ2011ț12ښūݓۆ

WTI ԸН֨ۤڹমڱۺ֨ۤÀԺںşÁॠٕڷǣ, ǴԦۺĵܓѺজεČͲॣąڍҙқۺڷͿমڱۺۍìڷͿ

қԵʼؽɰ. ˰͆Դڙڮ֨ۤڹχşښق˰͆֨ۤ࣢ݗۺ֨ۤںÍəìڷͿқԵʼؽڷ϶, ڙڮԸНۋ

ইНۆÀüѺʴڦॹںڙট০ॽݓ(hedge)ॠݓЇॠəìڷͿқԵʼؽɰ. Ŕ͠дͿڙڮইНۆÀüѺʴ

ڦॹںٰজॠşڦॢԞͿڏݓशÒьۋज़څॣìڷͿ҃ۍɰ.

ܳڅر ֨ۤমڱՁ, ĵܓѺজ, Zivot-Andrews ɳڦŖê܁, Gregory-Hansen ėۺқê܁

2012ț4ښ13ێۿս, 2012ț6ښ1ێ֮ԐٰΒ 2012ț6ښ21ێóۦঝ܁

1) Դڐʂॡİėॡٍĵՙ

2) Դڐʂॡİقȃݓ֨֟ࢰėॡҙҙİս

*Corresponding Author(ťлݓ) E-mail; [email protected]

Address; Department of Energy Systems Engineering, Seoul National University, Korea

Դ΁

1983țڙڮԸНڹݒÀॠəڙڮইН֨ۤۆÀüѺ ʴ ڦॹں ٰজॠş ڦॢ ЀۺڷͿ ɑچԜغä͒ՙ (NYMEX)قԜۤʼؽɰ. ŔőϿə۾ݕۺڷͿঝʂʼ ر 2010ț şܵ ێێ ɑچԜغä͒ՙقԴ ä͒ʼə

WTI ԸНä͒͟ڹأ70χæڷͿܓԐʼؽڷ϶, ۋə

أ7زѕͣۆőϿۍìڷͿݚćʼؽɰ. ۋə2010ț

şܵێێՃćڙڮՙҼ͟ۆأ8ѕقɵॠəսܵۋ ɰ. ۋߌͤڙڮ֨ۤۆՁۤق˰͆, ڙڮԸН֨ۤۋԸ Н֨ۤČڮۆًॣۍইН֨ۤۆÀüڦॹॽݓ(hedge)

ۆ ًॣں܃ʂͿսॱॠəÀقʂॢȦۆÀۋΘرݓČ

ەڷ϶, ʌҝرڙڮԸН֨ۤۋ2004țҙࢢ֨ۚʽ֪

ČڮÀٮÀüѺʴफ(volatility level)֮জۆЛ܃εই Н֨ۤęšн০ٍćॠيٰজॣսەəÀقʂॢٍ

ĵÀ টьॠó ݕॱʼČ ەɰ.

ڙڮԸН֨ۤۆًॣսॱقʂॢ܁҃əڙڮԸН֨

ۤۆমڱՁқԵںࣀ३ন˛ॣսەڷ϶, ڙڮԸН֨

ۤۆমڱՁқԵڹÀüڦॹěνۆࠑϸقԴܼڅॠ ɰ. ڙڮԸН֨ۤۆমڱՁқԵقəFama(1970)À܁

ۆॢ মڱۺ ֨ۤ ÀԺ(efficient market hypothesis)ں

ۺڌॠٕɰ.

Fama(1970)əইۦÀüڹęäقьԦॢ܁҃ٮй͒

قьԦॣìۋ͆ČٚþʼəϿ˜܁҃ε֪՚ॠČٰ

ۻॠó(fully reflect) Àüقъٖॠş˺Лق޲یä͒

(arbitrage)εࣀॢۋیন˛ۋҝÀɠॢ֨ۤںমڱۺ

֨ۤۋ͆܁ۆॠٕڷ϶, ܁҃ۆÌʪق˰͆أ঍(weak- form), ܵÌ঍(semi-strong form), Ì঍(strong form)ম ڱՁڷͿ ĵқॠٕɰ. ҆ ٍĵə ইۦÀüۋ ęäÀü

ٍĵȦЛ

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Table 1. Existing Study

Papers Methodology Data

ťѿս(1992) Cointegration test, ECM 1985.01~1990.08, WTI monthly price in NYMEX Crowder & Hamed(1993) Cointegration test 1983.03~1990.09, WTI monthly price in NYMEX ť޻ս, ťڹٖ(2006) Cointegration test, ECM 2001.09.14~2006.03.31, weekly price in TOCOM Kawamoto & Hamori(2010) Cointegration test, ECM, GARCH-M 1991.02~2008.05, WTI monthly price in NYMEX

߻ߌ: ťлݓ(2012), ĵܓѺজεČͲॢڙڮ֨ۤۆমڱՁқԵۦĵՁ

܁҃χڷͿ ĵՁʼؽəÀε ԕट҈ڷͿ׆ ڙڮ֨ۤۆ

أ঍মڱՁ(weak-form efficiency market)ںқԵॠٕ

ɰ. ۋεԸН֨ۤقۺڌॠيԕट҃ϸ, ԸН֨ۤڹй

͒ইН֨ۤۆÀüقʂॢ܁҃εъٖॠيÀüں঍

Ձॠş˺ЛقڙڮԸН֨ۤۋأ঍মڱۺۋ͆ϸ, ۋə

ԸНÀüۋй͒ق֬ইʼəইНÀüقʂॢ܁҃εٰ

ۻॠóъٖॠəìۋ͆३Եॣսەɰ. Ŕ͠ǣڙڮԸ Н֨ۤۋأ঍মڱۺ֨ۤۋ؉ɦ͆ϸ, ۋəڦॹ॒ν йع(risk premium)ۆܕۦεۆйॠ϶, ǣ؉ÀڙڮԸ Нä͒ۙəইНÀüۆÀüѺʴۆڦॹěνεڦ३

߸Àۺۍ ॽݓ(hedge)Ҽڌں ݓ߻३آ ॠə ìں ̹ॢ

ɰ. ˰͆ԴইН֨ۤۆ܁҃ε֪՚ॠóъٖॠəɰδ

ݓशεÒьॠəˣۆЛ܃εآşॣսەɰ. Ŕ͠дͿ

ÀüڦॹقʂڿॠşڦॢԞͿڏۻ͜ںսςॠşؘ

Դ, ڙڮԸН֨ۤۋÀüڦॹۆॽݓ(hedge)ًॣںڙ ট০սॱॠəÀεԕट҃şڦ३ڙڮԸН֨ۤۆমڱ Ձ ê܁ڹ Ըॱʼرآ ॢɰ.

Ըॱٍĵ

ڙڮ֨ۤۆՁۤق˰͆ěʹٍĵÀটьॠóݕॱʼ Čەɰ. ܳڅٍĵͿə١Ը؉ˣ(2003), ١Ը؉ٮॴڹ Ƞ(2005), ťݕսٽ(2006)ˣۆ ٍĵÀ ܕۦॢɰ. ۋ˞

ʂҙқۆٍĵəڙڮÀü঍ՁقەرԴҼʂࠡՁۆь þيҙεқԵॠäǣࢍ֨ۤۋڙڮ֨ۤقٖॳںܳə

څՙͿۚڌॠəÀقʂॢқԵڹটьॠó֨ʪʼؽڷ ǣڙڮԸН֨ۤق ʂॢ ٍĵəҙܔॢ Ԝডۋɰ.

Fama(1970)ۆ মڱۺ ֨ۤÀԺڹ ܳͿ ۦИ қآق

টьॠóۺڌʼؽڷ϶Ԝु֨ۤՁۤق˰͆Ԝु֨ۤ

ۆমڱՁқԵقʪȇνۺڌʼؽɰ. ڙڮ֨ۤٽۆڙ

ۙۦ֨ۤںқԵॢܳڅٍĵͿəێ҆٢սսԸН֨ۤ

ۆমڱՁںٍĵॢڰѿԘęت֧Η(2004)ۆٍĵٮҼ ߏŚ՚֨ۤۆমڱՁںқԵॢ١Ը؉ٮۋ֢ş(2010) ˣۆٍĵˣۋەɰ. ڙڮ֨ۤۆমڱՁڹGjølberg(1985) ق ۆ३ߌڼڷͿқԵʽۋ͒Ϳيٍ͠ĵۙقۆ३ê

܁ʼؽڷ϶, ۻࣀۺڷͿڙڮ֨ۤমڱՁқԵقəɳڦ

Ŗê܁(Unit root test), ėۺқê܁(Cointegration test), ١޲ս܁Ͽ঍(Error Correction Model)ˣۆѓѪ΁ۋܳ

Ϳۺڌʼؽɰ. ۋεц࢖ڷͿڙڮ֨ۤۆমڱՁںқԵॢ

ܳڅ ٍĵͿə Crowder and Hamed(1993)ę Kawamoto and Hamori(2010), ťѿս(1992)ۆٍĵٮť޻սٮť ڹٖ(2007)ۆ ٍĵ ˣۋ ەɰ(Table 1).

Crowder and Hamed(1993)ə 1983ț 3ښҙࢢ 1990 ț9ښūݓۆWTI ښѻڙڮ֨ۤۆমڱՁқԵں֨ʪ ॠٕڷǣڙڮ֨ۤমڱՁقʂॢڮۆॢĀęÉںʪ߻

ॣսػؽɰ. ˰͆ԴėۺқۆܕۦχڷͿڙڮ֨ۤۆ

মڱՁيҙεȦॠəìۋرͷɰČܳۤॠٕɰ. Ŕν ČKawamoto and Hamori(2010)əėۺқ, ١޲ս܁Ͽ

঍, GARCH-MѓѪ΁ںۺڌॠي1991ț2ښҙࢢ2008 ț5ښūݓۆښѻWTIۆχş֨۾ۋɰδԸНÀüÂ ۆ֨ۤমڱՁںқԵॠٕɰ. ŔĀę, মڱۺ֨ۤÀԺ ںşÁॠݓЇॠٕɰ. ťѿս(1992)ۆٍĵə1985ț1 ښҙࢢ1990ț8ښԐۋۆWTI ښѻইНÀüę1,3,6 ÒښНԸНÀüÂۆ֨ۤমڱՁںқԵॠٕəʚ1,3 ÒښНۆԸНÀüęইНÀüԐۋقəėۺқěćÀ

ܕۦॠيমڱۺ֨ۤۋՁςॠǣ6ÒښНԸН֨ۤڹ

Ҽমڱۺ֨ۤڷͿқԵʼؽɰ. ŔνČڙڮ֨ۤڹ࣢܁

й͒֨۾ۍʪқقʂ३ä͒ÀۋΘرݓəԜुԸН֨

ۤۋş˺Лقێѻ̚əܳѻইНÀüۙΒٮԸНÀ üۙΒəČ܁ʽşÂقێʂێʂڿۋرͷɰə۾ں

ݓۺॠٕɰ. ť޻սٮ ťڹٖ(2007)ۆٍĵə2001ț9 ښ14ێҙࢢ2006ț3ښ31ێūݓۆʴąԜुä͒ՙق Դä͒ʼəܳѻڙڮԸНÀüęইНÀüۙΒεц

࢖ڷͿێ҆Եڮԓغۆő܃ٰজق˰δԵڮ֨ۤۆই НфԸН֨ۤۆমڱՁںқԵॠٕɰ. ԜşۆԸॱٍ

ĵεԕट҃ϸ, ڙڮ֨ۤۆমڱՁقʂॢĀ΁ڹश҆

ۙΒۆşÂфҾʪ, ŔνČѓѪ΁ق˰͆ঔܓʽĀę ε܃֨ॠəìڷͿǣࢍǮɰ. ̚ॢ, χşښق˰͆মڱ ՁۆيҙÀɰβóǣࢍǣəìڷͿқԵʼؽɰ. Ŕ͠

ǣť޻սٮťڹٖ(2007)ۆٍĵε܃ٽॢʂҙқۆԸ ॱٍĵə֨ćَۙΒͿĵՁʽڙڮÀüںқԵقۺڌ ॠəʚەرԴĵܓѺজ֨۾ںČͲॠݓ؍ČқԵॢ

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Table 2. Basic Statistics

Variable Mean Std. Dev Min. Max Spot 37.1915 26.8126 11.35

(1998.12)

133.88 (2008.06) Futures 1 36.9282 26.6601 11.31

(1998.12)

134.02 (2008.06) Futures 2 36.7189 26.7475 11.64

(1998.12)

134.52 (2008.06) Futures 3 36.5012 26.8571 11.95

(1998.12)

134.78 (2008.06) Futures 4 36.2517 26.9166 12.23

(1998.12)

134.89 (2008.06)

ॢć۾ں Àݕɰ. Hansen(1992)ق ˰βϸ ĵܓѺজε

ČͲॠݓ؍ڹėۺқê܁ڹ֪΋ॣսػɰ. ٷǽॠϸ

ٽԦۺڷͿ֨ćَۙΒق߿üۋьԦॠóʼϸۋəĵ ܓѺজεآşॣսەڷ϶, ۋąڍۤşŒ঍ڷͿ҄Ŋ Àɡرݓäǣ҄ŊÀьԦॠݓ؍ںսەş˺Лۋɰ.

˰͆Դڙڮ֨ۤقٖॳںйࠚܳڅĵܓѺজ֨۾ں

ĵқॠي֨ۤমڱՁںқԵॠəìڹܼڅॠɰ. Ŕ͠

ǣ֨ۤڹي͠څۍقۆ३ٖॳںыş˺Лقॠǣۆ

࣢܁Ԑæˣقۆ३ٽԦۺڷͿĵܓѺজ֨۾ۋܳر ݕɰş҃ɰÀüۙΒ֨ćَۙߕقۆܕॠيǴԦۺ ڷͿ ĵܓѺজÀ ьԦॢɰČ ҃ə ìۋ ࢍɾॠɰ(ťࢗ

঒ٮডՁ঎, 2010). ˰͆Դٍ҆ĵقԴəǴԦۺĵܓ Ѻজ֨۾ںČͲॠيڙڮ֨ۤۆমڱՁқԵں֨ʪॠ

ٕɰ. ڙڮ֨ۤںʂԜڷͿǴԦۺĵܓѺজ֨۾ںࣺ

ѻॢ ٍĵə Cunado and Gracia(2003), Maslyuk and Smyth(2009),ÌԜ঵ęڰՁл(2010)ۆٍĵˣۋەڷ ǣĵܓѺজεČͲॠيڙڮ֨ۤۆমڱՁںқԵॢٍ

ĵə ҙܔॢ Ԝডۋɰ.

˰͆Դٍ҆ĵə܃2ۤقԴəڙڮ֨ۤۆĵܓѺজ

֨۾ںқԵॠşڦ३ÌԜ঵ęڰՁл(2010)ۆԸॱٍ

ĵقԴ ۺڌॢ Zivot-Andrews(1992)ѓѪ΁ę Cunado and Gracia(2003)ٮMaslyuk and Smyth(2009)Àۺڌ

ॢGregory-Hansen(1996)ѓѪ΁ںࢹʂͿॢÒۆǴԦ ۺĵܓѺজ֨۾ںқԵॠČۋεČͲॠيɑچԜغä

͒ՙقԴä͒ʼəWTI 1,2,3,4ÒښНԸН֨ۤۆأ঍

মڱՁںқԵॠٕɰ. ٍĵĀęəǴԦۺĵܓѺজ֨۾

ںČͲॠيমڱՁںқԵॢٍĵٮǴԦۺĵܓѺজ

֨۾ںČͲॠݓ؍ڹমڱՁٍĵεҼİॠ϶ۻÒॠٕ

ɰ. ܃3ۤقԴəқԵۆʂԜۋʼəۙΒՙÒфǴԦ ۺۍĵܓѺজ֨۾ںқԵॠəZivot-Andrews(1992)ۆ

ѓѪ΁ę Gregory-Hansen(1996)ۆ ѓѪ΁ں ՙÒॠČ, ڙڮ֨ۤۆأ঍মڱՁқԵقۺڌʽJohansen ėۺ қê܁ęėۺқধŊćսقʂॢڍʪҼê܁(Likelihood ratio test)قʂ३Ժϼॠٕɰ. ŔνČ܃4ۤقԴəڙ ڮ֨ۤۆ أ঍ মڱՁق ʂॢ қԵĀęε ʪ֨ॠٕČ, υݓφڷͿ܃5ۤقԴəĀ΁фॳ঳ٍĵѓॳقʂ३

Դցॠٕɰ.

қԵѓѪ

ۙΒ

қԵقəɑچԜغä͒ՙ(NYMEX)قԴä͒ʼəWTI ۆ ښѻইНÀüф1,2,3,4ÒښНԸНÀüۙΒεۋ ڌॠٕɰ. şÂڹ1986ț9ښҙࢢ2011ț12ښūݓۋ϶

ۙΒۆҾʪəťѿս(1992)ۆٍĵȦЛں޷Čॠيښ ѻͿԺ܁ॠٕɰ. ̚ॢ, ֨ۤমڱՁۆĀęə֨ۤ࣢ݗ

ۺՁüڷͿۍ३ࠄśॠəԜुۆܛΪق˰͆ĀęÀ

ɰβóǣࢍǨսەɰ. ˰͆ԴйĶقȃݓ܁҃ߔ(Energy Information Association; EIA)قԴ܃ėॠəښѻWTI 1,2,3,4ÒښНԸН֨ۤںʂԜڷͿқԵںսॱॠٕɰ.

Table 2əইНÀüę1,2,3,4ÒښНԸНÀüۆşߣ ࣀćۙ͟Βۋɰ. SpotڹtşۆইНÀü, Futures1ڹχ ş֨۾ۋtۍt-1şۆ1ÒښНԸНÀüںۆйॢɰ. υ

޴ÀݓͿFutures4ət-4şۆ4ÒښНԸНÀüںۆй

ॢɰ.

֨ۤমڱՁқԵѓѪ

ڙڮ֨ۤۆأ঍মڱՁê܁ڹԸНÀüۋй͒ق֬

ইʼəইНÀüۆҝठ߸܁࠘(unbaised predictor)Àʼ əÀεê܁॥ڷͿқԵॣսەɰ. Ŕ͠дͿԸН֨ۤ

ۆأ঍মڱՁڹԸН֨ۤۆ֨ۤ޷ۙÀ˞(speculators) ۋڦॹܼςۺۋ͆ϸԸНÀüڹԸНćأۆχş֨ق

ٚԜʼəইНÀüęʴێॠ϶, ҝठ߸܁࠘εۋΘرآ

ॢɰəìںۆйॢɰ. ۋə֩(1)ęÏۋशইॣսەɰ.

_{ƒ à Î}¬ƒ á_{ƒ à Î} (1)

_{ƒ à Î}¬ƒ əƒ à Îşۆй͒ইНÀüۆܓæҙşʈÉ

ںۆйॠ϶, ԸН֨ۤۆমڱՁںԕट҃şڦॢধŊ ѓ܁֩ڹ֩(2)ٮÏۋशইʾսەɰ. ۋ˺, Ķ_{ƒ à Î}ڹ

ƒ à Îşۆ܁҃ݚ०ۋ϶Ɠ_ƒə०νۺşʂ١޲ۋɰ. Ŕ

νČƓ_ƒəĶ_{ƒ à Î}ۆϿ˜ڙՙٮəʫςۺ(Orthogonal)ۋ

ɰ. ŔνČ֩(2)ə֩(3)ęÏڹধŊ֩ڷͿѺ঍ॣ

ս ەɰ.

¬_ƒá_{ƒ à Î}Þ¬_ƒĶ_{ƒ à Î}ß â Ɠ_ƒ (2)

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¬_ƒá ķâĺ_{ƒ à Î}â Ɠ_ƒ (3)

ԸН֨ۤۆ֨ۤমڱՁęҝठՁں߸܁ڹ¡_×: ķ á ×, ĺ á Îۋ͆əĀ०ŊИÀԺںê܁॥ڷͿ׆ɵՁʾսە ɰ. Beck(1994)ق˰βϸŊИÀԺۆşÁڹԸН֨ۤ

ۋ Ҽমڱۺۋ϶, ڦॹ ॒νйعۆ ܕۦε ۆйॢɰ.

ۋ͠ॢধŊѓ܁֩ںۋڌॢÀԺê܁ڹ֨ćَۙ

ΒÀ؋܁ۺ(stationary) ܓæںۻ܃Ϳսॱʼ϶֨ć

َۙΒۆ؋܁ՁڹɳڦŖê܁(unit-root test)ںࣀ ३ࣺѻॣսەɰ. Ŕ͠ǣ֨ćَƗ_ƒٮƖ_ƒÀI(1)Ѻս ۋČ ۋ˞ۆ Ը঍Ā०ƃ_ƒá Ɨ_ƒà ĸ_Îà ĸ_ÏƖ_ƒÀ I(0)ۋ͆ϸ,

֨ćَƗ_ƒٮƖ_ƒə ێ܁ॢ ःࢤ ػۋ ړݔۋʌ͆ʪ ˃

֨ćَۋێ܁ॢۤşŒ঍ěćεÀݓ϶ړݔۋəė ۺқěćےںۆйॢɰ. ˰͆Դ֨ۤমڱՁۆê܁ڹ

ধŊқԵ, ėۺқê܁ˣںۺڌॠيқԵॣսەɰ.

Ŕ͠ǣ Crowder and Hamed(1993)ə ėۺқ ěćۆ

ܕۦχڷͿəڙڮ֨ۤۆমڱՁںê܁ॣսػɰČ

ܳۤॠٕɰ. ˰͆Դ ڙڮԸН֨ۤۆ মڱՁں қԵॠ ş ڦ३Դə֩ (3)ۆ ėۺқ ধŊćսق ܃أܓæں

ҙę॥ڷͿ׆ࣺѻॣսەɰ. ܃أܓæê܁ڹڍʪҼ

ê܁(likelihood ratio test)ࣀ३ۋΘرݓ϶ŊИÀԺڹ

ķ á ×ۋČĺ á Îۋɰ.

ǴԦۺĵܓѺজ֨۾ࣺѻ

Zivot-Andrews (1992)

҆ѓѪ΁ڹۼठقԴۆѺজ(crash model), şڐşق ԴۆѺজ(changing growth model), ۼठęşڐşقԴ ۆѺজεČͲॢϿ঍(mixed model)ڷͿĵқʼ϶, ֩ (4)ٮ Ïۋ शইʽɰ.

Ɨ_ƒá łâ ĺƒ â ľ®_ƒâ Ĺ_ƒâ ķƗ_{ƒ à Î}â_{Ƈ á Î}

ā

^Ɖ ^ĸ^Ƈ^ĢƗ^{ƒ à Î}^{â Ɠ}^ƒ⁽⁴⁾

ۋ˺, ƒ ð_ƀۍąڍ, ®_ƒá ÎۋČ, Ŕͩݓ؍ںąڍق ə®_ƒá ×ۋɰ. ̚ॢ, _ƒəƒ ð_ƀۍąڍ, _ƒá ƒ à_ƀ Ϳ ܁ۆʼČ, Ŕͩݓ؍ںąڍقəƒá ×ڷͿशইʽ ɰ. _ƀə۠ۦۺĵܓѺজ֨۾ںۆйॢɰ. ŊИÀԺڹ

“Ɨ_ƒÀҝ؋܁ॢ֨ćَۋɰ”ۋ϶, “ķ á Îۋɰ”ۋɰ. 3À ݓϿ঍قʂ३Sen(2003)ڹۼठقԴۆѺজ̚əşڐ şقԴۆѺজχČͲॢϿ঍ڹĵܓѺজۆڮ঍قҝঝ

֬Ձۋەںąڍê܁ͳ՜֬(power loss)ۋϔڍࡾɰ Čݓۺॠٕɰ. ˰͆Դ҆ ٍĵə Sen(2003)ۆ Āęε

ъٖॠيۼठęşڐşۆѺজϿ˃εČͲॢϿ঍ں

ц࢖ڷͿ ĵܓѺজ ֨۾ں қԵॠٕɰ.

Gregory-Hansen (1996)

Gregory-Hansen(1996)ۋ ܃؋ॢ ėۺқ ê܁Ѫڹ

Engle-Grangerۆशܵėۺқê܁Ͽ঍قԴۼठęşڐ şقǴԦۺĵܓѺজεॴڌॠيѺս˞ۆėۺқěć εࣷ؊ॠəѓѪ΁ۋɰ. ݌, शܵėۺқϿ঍ںşܵڷ ͿԜսۆѺজ(C), ԜսۆѺজق߸Ճʪۓ(C/T), Ԝս

ф şڐşۆ Ѻজ(C/S), Ԝս ф şڐş·߸Ճۆ Ѻজ (C/S/T) ˣۆ঍ࢗͿĵқॠيϿ঍ںԺ܁ॠٕɰ. ŊИ ÀԺڹ“Ѻս˞ԐۋقėۺқěćÀՁςʼݓ؍əɰ”

ۋ϶, ߯ۺĵܓѺজ֨۾ڹĵܓѺজ֨۾ŉقʂ३߸

܁ʽÞŉß, ³_ƒÞŉß, ³_ķÞŉßۆê܁ࣀć͟ÀڏʚÀۤۚ

ڹÉں߯ۺ, ³_ƒ, ³_ķͿ܁ۆʽɰ. ۋ˺, Gregory- Hansen(1996)ڹ 4Àݓ Ͽ঍Àڏʚ C/SϿ঍ۋ Àۤ ê

܁ͳۋڍսॠɰČ܃֨ॠٕɰ(֩(5)). ̚ॢ, ³_ƒࣀć͟

ںԐڌॠəìۋц͊ݔॠɰČܳۤॠٕɰ. ˰͆Դ҆

ٍĵقԴə Gregory-Hansen(1996)ۆ Āęε ъٖॠي

қԵĀęε ܃֨ॠٕɰ.

ۋ˺, ōəėۺқê܁قԴĵܓѺজεϿ঍জॠşڦ

ॢ ÀѺսۋ϶ ؉͒ٮ Ïۋ ܁ۆʽɰ.

ō_ƒŉá

å

× ƒ = ãƌŉä

Î ƒ ð ãƌŉä ŉÞ×ìÎß

ŉəۻߕşÂقʂॢĵܓѺজ֨۾ںۆйॠ϶, ł_Î,ķ_Î əĵܓѺজۋۻۆԜսۋČ, ł_Ï,ķ_ÏəĵܓѺজͿۍ३

ѺজॢÉںǣࢍǶɰ. ̚ॢ, ķəşڐşćսۋ϶, ĸə

֨Âق ˰δ ԜսۆѺজε ۆйॢɰ.

Gregory-Hansen(1996)ڹĵܓѺজÀۻߕश҆ۆߣ şٮϊşقьԦॣąڍėۺқê܁ࣀć͟ۋҼ܁Ԝۺ ڷͿĵইʼəЛ܃εक़ॠşڦ३ۙΒۆߌڼęǚۆ

15%ε܃ٽॠČĵܓѺজьԦÀɠՁںқԵॠٕڷǣ

ٍ҆ĵقԴəѓѪ΁ںĵইقەرڙڮ֨ۤÀüѺ ښ), è॒ۻ ܛΒ(1991ț 2ښ)ˣۆԐæę 2008țՃ ćŚڵڦşˣۆԐæ(event)ںъٖॠşڦ३ߌڼ ęǚۆ10%ε܃ٽॠČĵܓѺজьԦÀɠՁںқ Եॠٕɰ.

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Table 3. The results of likelihood ratio test for the cointegrating vectors (1986.09~2011.12)

Cointegrating Vector H0

ķ ĺ ķ á ×, ĺ á Î

Spot & Futures 1 0.9977(0.000)*** 0.0748(0.000)*** 13.27(0.000)***

Spot & Futures 2 0.9817(0.000)*** 0.5815(0.003)*** 7.37(0.007)***

Spot & Futures 3 0.9668(0.000)*** 1.0029(0.002)*** 7.992(0.005)***

Spot & Futures 4 0.9514(0.000)*** 1.4841(0.000)*** 11.75(0.001)***

p-value in parentheses

*, **, *** indicate a 10%, 5%, 1% significance level, respectively

Table 4. The results of Zivot-Andrews test 1986.09~2011.12

Mixed model results Variables Statistics Break Point lags

Spot -6.571*** 2005.01 2

Futures 1 -6.565*** 2005.01 2 Futures 2 -6.614*** 2005.01 2 Futures 3 -6.722*** 2005.01 2 Futures 4 -6.044*** 2005.01 2

ےćÉ 5%: -5.08

1%: -5.57

ܳ) ֨޲Ը܁ۆşܵ: AIC

Table 5. The results of Gregory-Hansen test 1986.09~2011.12

C/S model results Variables ³_ƒ Break point lags Spot & Futures 1 -11.83*** 2008.06 0 Spot & Futures 2 -7.93*** 2008.05 3 Spot & Futures 3 -7.86*** 2008.06 2 Spot & Futures 4 -7.62*** 2008.07 2

ܳ) ֨޲Ը܁ۆşܵ: AIC

қԵĀę

ĵܓѺজČͲॠݓ؍ڹڙڮ֨ۤমڱՁқԵ ǴԦۺĵܓѺজεČͲॠيڙڮ֨ۤۆমڱՁںқ ԵॠşؘԴ, ʂܓķڷͿ׆ĵܓѺজ֨۾ںČͲॠݓ؍

ڹ 1986ț9ښҙࢢ2011ț12ښūݓۆWTI ښѻইН ÀüęԸНÀüۙΒεʂԜڷͿ֨ۤমڱՁںқԵॠ

ٕɰ. қԵقؘԴ, ؋܁Ձںê܁ॠşڦ३ADF(Augmented Dickey Fuller)ɳڦŖê܁ęPP(Phillips-Perron)ɳڦŖ

ê܁ں֬֨ॢĀę, ֨ćَۙΒə1޲޲қॠي֨ć

َۙΒۆ؋܁Ձںন˛ॣսەəìڷͿǣࢍǮɰ¹⁾.

˰͆ԴJohasen ėۺқê܁ں֬֨ॠٕɰ. ŔĀę, ĵ ܓѺজεČͲॠݓ؍ڹ1986ț9ښҙࢢ2011ț12ښ

şÂ ʴ؋ۆ WTI ইНÀüę 1,2,3,4ÒښН ԸНÀü

ԐۋقÁÁ1ÒۆėۺқۋܕۦॠəìڷͿқԵʼؽ ɰ. ŔνČমڱۺ֨ۤÀԺںê܁ॠşڦ३, ڍʪҼê

1) APPENDIX ޷ܓ

܁ں սॱॠٕɰ(Table 3).

Ŕ Āę, ইНÀüę 1,2,3,4ÒښН ԸНÀü Ԑۋق

ʪ߻ʽ ėۺқ ѯࢢÀķ á ×ۋČĺ á Îۋ͆ə Ā०ŊИ ÀԺں1% ڮۆսܵقԴşÁॠٕɰ(Table 4). Ŕ͠д Ϳ1986ț9ښҙࢢ2011ț12ښԐۋقɑچԜغä͒

ՙ(NYMEX)قԴ ä͒ʼə WTI ԸН֨ۤڹ মڱۺۋ ݓ Їॠäǣ ̚ə ڦॹ ॒νйعں Ǵपॣս ەɰ.

ǴԦۺĵܓѺজ֨۾ق˰δڙڮ֨ۤমڱՁқԵ ۼठęşڐşۆѺজϿ˃εČͲॠيǴԦۺĵܓѺ জ֨۾ںࣺѻॠəZivot-Andrews(1992)ѓѪ΁ںۺڌ

ॢ Āęə 2005ț 1ښͿ қԵʼؽɰ(Table 4). ŔνČ

Gregory-Hansen(1996)ۆ C/S Ͽ঍ں ц࢖ڷͿ ĵܓѺ জ֨۾ںқԵॢĀę, 2008țڷͿқԵʼؽɰ(Table 5).

Ϥ۹, Zivot-Andrew(1992)À ܃؋ॢ ѓѪ΁ڷͿҙࢢ

ʪ߻ʽ2005ț1ښںşܵڷͿڙڮ֨ۤۆমڱՁقѺ জÀܕۦॠəݓԕट҃şڦ३Johasen ėۺқê܁ф

ėۺқ ѯࢢ ڍʪҼ ê܁ں սॱॠٕɰ. қԵں ڦ३

1986ț9ښҙࢢ2004ț1ښūݓۆşÂę2005ț1ښ ҙࢢ2011ț12ښūݓۆşÂڷͿĵқॠيڙڮ֨ۤۆ

মڱՁںê܁ॠٕɰ. Ϥ۹1986ț9ښҙࢢ2004ț12

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Table 6. The results of likelihood ratio test for the cointegrating vector considering Zivot-Andrews test

Zivot-Andrews test Gregory-Hansen

Cointegrating Vector H0 Cointegrating Vector H0

ķ ĺ ķ á ×,ĺ á Î ķ ĺ ķ á ×,ĺ á Î

1986.09~2004.12 Phase1 Spot & Futures 1 1.0029

(0.000)***

-0.03396 (0.125)

2.304 (0.129)

0.9987 (0.000)***

0.0515 (0.007)***

6.564 (0.010)***

Spot & Futures 2 1.0156 (0.000)***

-0.1050 (0.759)

0.0887 (0.766)

0.9737 (0.000)***

0.6936 (0.003)***

6.99 (0.008)***

Spot & Futures 3 1.0193 (0.000)***

-0.0437 (0.946)

0.00421 (0.948)

0.9415 (0.000)***

1.4562 (0.000)***

14.42 (0.000)***

Spot & Futures 4 1.0024 (0.000)***

0.3606 (0.684)

0.1513 (0.697)

0.9080 (0.000)***

2.2470 (0.000)***

4.636 (0.031)**

2005.01~2011.12 Phase2

Spot & Futures 1 - - - 0.9999

(0.000)***

-0.1694 (0.190)

1.428 (0.232)

Spot & Futures 2 - - - 1.0521

(0.000)***

-5.4316 (0.000)***

4.316 (0.038)**

Spot & Futures 3 1.0357 (0.000)***

-4.5634 (0.005)***

5.416 (0.020)**

1.0607 (0.000)***

-6.9949 (0.002)***

21.88 (0.000)***

Spot & Futures 4 1.0142 (0.000)***

-3.5028 (0.105)

1.769 (0.183)

0.9936 (0.000)***

-2.2260 (0.71)

0.2608 (0.610) p-value in parentheses

*, **, *** indicate a 10%, 5%, 1% significance level, respectively ښūݓۆ şÂں ʂԜڷͿ Johansen ėۺқں սॱॢ

Āę, ইНÀüę1ÒښНԸНÀü, ইНÀüę2Òښ НԸНÀü, ইНÀüę3ÒښНԸНÀü, ইНÀüę

4ÒښНԸНÀüԐۋقÁ1ÒۆۤşۺŒ঍ںÍə

ìڷͿқԵʼؽɰ. ŔνČşܵ֨۾ۋ঳ۍ2005ț1 ښҙࢢ2011ț12ښşÂʴ؋ۆJohansen ėۺқĀę εԕट҃ϸ, ইНÀüę3ÒښНԸНÀü, ইНÀüę

4ÒښНԸНÀüԐۋقėۺқۋܕۦॠəìڷͿǣ

ࢍǮɰ. ˰͆ԴėۺқۋܕۦॠəѺսεʂԜڷͿė ۺқ ধŊćսۆ ڍʪҼ ê܁ں ֬֨ॠٕɰ(Table 6).

қԵĀę, 1986ț9ښҙࢢ2004ț12ښԐۋقəڙڮ ԸН֨ۤۆ ҝठՁں ê܁ॠə Ā० ŊИÀԺں 10%

ڮۆսܵقԴşÁॣսػؽɰ. Ŕ͠ǣ2005ț1ښҙ ࢢ2011ț12ښşÂʴ؋ۆWTI ښѻইНÀüęė ۺқں ۋΘə 3,4ÒښН ԸНÀüں ʂԜڷͿ ҝठՁ ںê܁ॢĀę, ইНÀüę3ÒښНԸНÀüڹমڱۺ

֨ۤÀԺںşÁॠٕɰ. Ŕ͠ǣইНÀüę4ÒښНԸ НÀüڹ10% ڮۆսܵقԴĀ०ŊИÀԺںşÁॠݓ

Їॠٕɰ. ইНÀüę4ÒښНԸНÀüۆąڍ, ǴԦۺ ۍĵܓѺজ֨۾ںČͲॠݓ؍ڷϸĀ०ŊИÀԺۍ

ԸН֨ۤۆ ҝठՁں 1% ڮۆսܵقԴ şÁॠٕڷǣ

ĵܓѺজ֨۾ںČͲॠيşÂںĵқॠيԸН֨ۤۆ

ҝठՁںê܁ॢĀę, 10% ڮۆսܵقԴĀ०ŊИÀ Ժں şÁॣ ս ػə ìڷͿ ǣࢍǮɰ.

Gregory-Hansen(1996)ۋ܃؋ॢѓѪ΁قۆ३ʪ߻

ʽĵܓѺজ֨۾ںČͲॠيڙڮԸН֨ۤۆমڱՁں

қԵĀęəTable 6ęÏɰ. Phase1ڹ1986ț9ښҙࢢ

ʪ߻ʽ ߯ۺ֨۾ۆ ۻɵūݓۋ϶, Phase2ə ʪ߻ʽ ߯ ۺ֨۾ҙࢢ2011ț12ښūݓۆşÂۋɰ. Ϥ۹Phase1 şÂۆԸН֨ۤۆҝठՁê܁Āęεԕट҃ϸɰڼę

Ïɰ. ইНÀüę1ÒښНԸНÀü, ইНÀüę2Òښ НԸНÀü, ইНÀüę3ÒښНԸНÀüڹ1% ڮۆ

սܵقԴ܃أܓæںप॥ॢĀ०ŊИÀԺ^{ķ á ×},ĺ á Îں

şÁॢɰ. ŔνČইНÀüę4ÒښԸНÀüڹ5% ڮ ۆսܵقԴĀ०ŊИÀԺںşÁॠٕɰ. ˰͆ԴPhase1 şÂʴ؋ۆWTI ֨ۤڹমڱۺ֨ۤÀԺںşÁॠə

ìڷͿқԵʼؽڷ϶ڦॹ॒νйعۆܕۦÀÀɠॠɰ.

Phase2ۆşÂںԕट҃ϸ, ইНÀüę2ÒښНԸН Àüڹ5% ڮۆսܵقԴ ԸН֨ۤۆҝठՁںۆйॠ əĀ०ŊИÀԺںşÁॠٕČইНÀüę3ÒښНԸ НÀüڹ1% ڮۆսܵقԴĀ०ŊИÀԺںşÁॠٕɰ.

Ŕ͠ǣ2008ț6ښҙࢢ2011ț12ښūݓۆইНÀüę

1ÒښНԸНÀü, 2008ț7ښҙࢢ2011ț12ښūݓۆ

ইНÀüę4ÒښНԸНÀüڹķ á ×,ĺ á ÎۆĀ०ŊИ

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ÀԺں şÁॠݓ Їॠə ìڷͿ қԵʼؽɰ.

څأфĀ΁

ٍ҆ĵəʂशۺۍڙۙۦ֨ۤۆॠǣۍڙڮ֨ۤۆ

মڱՁںқԵॠşڦॠيχş֨۾ۆڙڮԸНÀüۋ

ڙڮইНÀüęʴێॢÀεê܁ॠٕɰ. ي͠ԜডęѺ ս, ܁҃قۆ३ÀüۆѺʴफۋࢀڙڮ֨ۤۆ࣢Ձں

ČͲॠي, ڙڮ֨ۤۆǴԦۺĵܓѺজ֨۾ںқԵॠٕ

ڷ϶, ۋεČͲॠيڙڮ֨ۤۆমڱՁںқԵॢĀę ٮĵܓѺজ֨۾ںČͲॠݓ؍ڹٍĵĀęεҼİॠ϶

ٍĵε ۻÒॠٕɰ.

Ϥ۹, ĵܓѺজε ČͲॠݓ ؍ڹ 1986ț 9ښҙࢢ

2011ț12ښۆڙڮ֨ۤۆমڱՁںқԵॢĀę, ɑچ Ԝغä͒ՙقԴä͒ʼəWTI 1,2,3,4ÒښНԸН֨ۤ

Ͽ˃1% ڮۆսܵقԴমڱۺ֨ۤÀԺںşÁॠٕɰ.

Ŕ͠дͿۋ֨şقɑچԜغä͒ՙۆWTI ԸН֨ۤڹ

মڱۺۋݓЇॠäǣڦॹ॒νйعںÍəìڷͿқԵ ʼؽɰ. Ŕͩɰϸ, 1986ț9ښҙࢢ2011ț12ښۆۻߕ şÂʴ؋قڙڮ֨ۤڹমڱۺۋݓЇॠٕəÀقʂॢ

ɻں؎؉҃şڦ३, Hansen(1992)ۆܳۤںъٖॠي

ĵܓѺজεČͲॠيڙڮ֨ۤۆমڱՁںқԵॠٕɰ.

ŔĀę, ǴԦۺĵܓѺজεČͲ࠘؍ؕںąڍٮĵܓ Ѻজε ČͲॢąڍə Ԝۋॢ Āęε Àܐɰ.

Zivot-Andrews(1992)ۆɳڦŖê܁Ѫںࣀ३ʪ߻ʽ

ǴԦۺĵܓѺজ֨۾ڹ2005ț1ښͿқԵʼؽɰ. ˰

͆Դۋ֨۾ںČͲॠيڙڮ֨ۤۆşÂں1986ț9ښ ҙࢢ2004ț12ښūݓۆşÂę2005ț1ښҙࢢ2011ț 12ښūݓۆşÂڷͿĵқॠي֨ۤমڱՁںԕट҃ؕ

ɰ. ŔĀę, 1986ț9ښҙࢢ2004ț12ښūݓۆWTI ইНф1,2,3,4ÒښНԸН֨ۤԐۋۆėۺқѯࢢə

Ā० ŊИÀԺں 10% ڮۆսܵقԴ şÁॠݓ Їॠə

ìڷͿǣࢍǮɰ. ˰͆ԴۋşÂۆڙڮ֨ۤڹমڱۺ ۍìڷͿԐΒʽɰ. Ŕ͠ǣ2005ț1ښҙࢢ2011ț12 ښūݓۆWTI ইНф3,4ÒښНԸН֨ۤۆأ঍মڱ ՁيҙεқԵॢĀęεԕट҃ϸ, ইНÀüę3ÒښН

ԸНÀüڹ“ڙڮԸН֨ۤۋইН֨ۤۆҝठ߸܁࠘ɰ”

͆əĀ०ŊИÀԺں5% ڮۆսܵقԴşÁॠٕڷдͿ

ۋşÂʴ؋ۆWTI ڙڮԸН֨ۤڹমڱۺ֨ۤÀԺ ںşÁॠٕɰ. Ŕ͠ǣইНÀüę4ÒښНԸН֨ۤÂ ۆ ėۺқ ѯࢢə Ā०ŊИÀԺں şÁॠݓ Їॠٕɰ.

Ŕ͠дͿ2005ț1ښҙࢢ2011ț12ښūݓۆşÂʴ

؋ۆ1,2,3ÒښНԸН֨ۤڹأ঍মڱۺ֨ۤۋ͆ॣ

սػڷǣ4ÒښНԸН֨ۤڹأ঍মڱۺ֨ۤۋ͆Ā

΁Ǵπս ەɰ.

Gregory-Hansen(1996)À܃؋ॢėۺқê܁ѪÀڏ ʚC/SϿ঍ںۺڌॠي1ÒۆǴԦۺĵܓѺজ֨۾ں

ࣺѻॢĀęεԕट҃ؕɰ. ŔĀę, 1ÒښНԸНÀü, ইНÀüę3ÒښНԸНÀüڹ2008ț6ښ, ইНÀü ę2ÒښНԸНÀüڹ2008ț5ښ, ইНÀüę4Òښ НԸНÀüڹ2008ț7ښںĵܓѺজ֨۾ڷͿݓۺॠ

ٕɰ. ʪ߻ʽ֨۾ںş۾ڷͿ1986ț9ښҙࢢ2011ț

12ښۆښѻWTI ইНÀüęԸНÀüۆۙΒεPhase1 ę Phase2 ĵÂڷͿĵқॠيڙڮ֨ۤۆমڱՁںқ Եॠٕɰ. Ǵڌںԕट҃ϸ, Phase1 şÂʴ؋قə1%

̚ə 5% ڮۆսܵقԴ ইНÀüę 1ÒښН ԸНÀü, ইНÀüę 2ÒښН ԸНÀü, ইНÀüę 3ÒښН Ը НÀü, ইНÀüę 4Òښ ԸНÀüڹ Ā०ŊИÀԺں

şÁॠٕɰ. ˰͆ԴPhase1 şÂʴ؋ۆWTI ֨ۤڹম ڱۺ ֨ۤÀԺں şÁॠə ìڷͿ қԵʼؽČ, Phase2 ۆşÂʴ؋ںԕट҃ϸ, ইНÀüę2ÒښНԸНÀü, ইНÀüę3ÒښНԸНÀüڹ1% ̚ə5% ڮۆսܵ

قԴĀ०ŊИÀԺںşÁॠٕڷǣইНÀüę1ÒښН

ԸНÀü, ইНÀüę4ÒښԸНÀüڹԸН֨ۤۆҝ ठՁںê܁ॠəĀ०ŊИÀԺںşÁॠݓЇॠəìڷ Ϳэঅܐɰ. Ŕ͠дͿPhase1 şÂڹWTI ڙڮ֨ۤۋ

Ҽমڱۺ ֨ۤۍ ìڷͿ қԵʼؽڷǣ, Phase2ۆ şÂ قə2ÒښНԸН֨ۤę3ÒښНԸН֨ۤڹҼমڱۺ ڷͿ қԵʼؽڷǣ, 1ÒښН ԸН֨ۤę 4ÒښН ԸН

֨ۤڹ মڱۺ ֨ۤۍ ìڷͿ қԵʼؽɰ.

ĵܓѺজεČͲॠيڙڮ֨ۤۆমڱՁںқԵॢą ڍ1986ț9ښҙࢢ2011ț12ښūݓۆۻߕşÂʴ؋

ۆڙڮ֨ۤڹڦॹ॒νйعۋܕۦॠəҼমڱۺ֨ۤ

ۍ ìڷͿ қԵʼؽڷǣ, Zivot-Andrews(1992)ق ۆ३

ʪ߻ʽǴԦۺĵܓѺজ֨۾ںČͲॠيڙڮ֨ۤۆম ڱՁںқԵॢĀę, 1986ț9ښҙࢢ2004ț12ښūݓ ۆڙڮ֨ۤڹমڱۺ֨ۤۍìڷͿқԵʼؽɰ. ̚ॢ, ĵܓѺজεČͲॠݓ؍ڹ֨ۤقԴə4ÒښНԸН֨

ۤۋ Ҽমڱۺ֨ۤۍ ìڷͿ қԵʼؽڷǣ Gregory- Hansen(1996)ۆǴԦۺĵܓѺজ֨۾ںČͲॠيڙڮ

֨ۤۆমڱՁںқԵॢĀę, Phase1ęPhase2ۆşÂ

Ͽ˃4ÒښНԸН֨ۤڹĀ०ŊИÀԺںşÁॠݓЇ ॠيأ঍মڱۺ֨ۤۍìڷͿқԵʼؽɰ. Ŕ͠дͿ

ڙڮԸН֨ۤڹश҆şÂۋʴێॠيʪԸНۆχşښ ق˰͆֨ۤমڱՁيҙÀ࣢ݗۺۍìڷͿԐΒʽɰ.

̚ॢ, Hansen(1992)ۆܳۤߌͤĵܓѺজ֨۾ںČͲॠ يқԵॠəìۋ҃ɰՃҙۺۋČ܁ঝॢқԵĀęε

܃ėॢɰČ ॣ ս ەڷ϶, ڙڮ֨ۤق ەرԴ Hansen (1992)ۆܳۤں˓ыࠞॠəĀęͿٍ҆ĵÀটڌʾ

սەںìڷͿşʂॢɰ. ŔνČǴԦۺĵܓѺজ֨۾

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ڷͿ ʪ߻ʽ 2005ț 1ښڹ ֪ČڮÀ ֨ʂͿ ϼϼʼə

֨۾ęێ࠘ॠəìڷͿԐΒʼ϶, ڙڮ֨ۤۋۋ֨۾

ںş۾ڷͿɰδ࣢ՁںÀݓČۻÒʼəìڷͿԦÁ ʽɰ. ˰͆Դۋ֨۾قڙڮ֨ۤۆĵܓѺজقݔۿۺ

̚əÂۿۺڷͿٖॳںйࠚي͠ѺսٮԐæقʂॢ

ٍĵÀć՚ۺڷͿٰ҃ʼرآॣìڷͿ҃ۍɰ. 2005 ț1ښۆ֨۾ںČͲॠيڙڮ֨ۤۆমڱՁںқԵॢ

Āę, 1986ț 9ښҙࢢ 2004ț 12ښūݓۆ ڙڮ֨ۤڹ

মڱۺۍ֨ۤڷͿқԵʼؽڷǣ, ֪ČڮÀ֨ʂͿۍ३

ĵܓѺজÀьԦॢۋ঳ۆ֨şۍ2005ț1ښҙࢢ2011 ț12ښʴ؋ۆWTI ښѻইНф1,2,3,4ÒښНԸН֨

ۤڹҼমڱۺ֨ۤۍìڷͿǣࢍǣ϶, ڙڮԸНۋই Нۆҝठٚࠑ࠘À؉ɨìڷͿқԵʼؽɰ. ˰͆Դڙ ڮԸНۋইНۆÀüѺʴڦॹںڙট০ॽݓ(hedge) ॠݓ Їॠə ìڷͿ қԵʼؽɰ. Ŕ͠дͿ ڙڮইНۆ

ÀüѺʴڦॹںٰজॠşڦॢԞͿڏݓशۆÒьۋ

ज़څॢìڷͿ҃ۍɰ. ̚ॢ, ڙڮ֨ۤڹҙқۺڷͿম ڱۺ̚əҼমڱۺۍìڷͿқԵʼؽş˺Лقॳ঳

ٍĵقԴərolling-windowˣۆşѪˣںࣀ३ڙڮ֨

ۤۆমڱՁيҙεĵÂѻͿʪ߻ॣսەںìڷͿş ʂॠş˺Лقڙڮ֨ۤۆমڱՁقٖॳںܳəي͠

Ѻսقʂॢڙڮ֨ۤۆъڿں҃ɰߕćজॣսەں

ìڷͿ ԦÁʽɰ.

޷ČЛॶ

Գঃผ, ଗনࢢ, 2010, “֝୪଀କਏୋଭܛୡૺ஻ହ઩ٛ

୍෇ۀୋ׆׆ઙ൉নրվୡंւծ઴֜,”ୀ଀ฅլ

լ୪઴֜, ୪19֫ 3෹, pp. 485-512.

׌ࢢ஺, 2012, ֜୺࣡ฃࠜճߙ෉଀କਏୋตଘনंজ, জॷ෈଍ ڍࢂ, ছ૷۩෈֗, ছ૷.

׌ࣦ৤, 1992, “଀କটࢄਏୋଭตଘনՑ୨րটࢄԧգଭ

է୨૬଴ंজ,” լ୪෈઴֜, ୪40֫ 1෹, pp. 153-166.

׌஼৤, ׌઴ࢼ, ෛଠڇ, 2006, “ண֝ଭজକ৤଺ր֝୪଀

କԧգ࣡ܛଭ଴րւծंজ,” ෉֝஺֜ਏਆഗվ෈ฎ

஺, ୪43֫ 6෹, pp. 551-559.

׌ఢ৤, ׌ଠઽ, 2006, “ଵ࣭জକਏୋଭ৤ׂ֜୺૕଀କ, ୪ඨକԧգଭୋ׆ֹ෴ւծ,”ܛँੰլ୪઴֜,୪18֫

3෹, pp. 1-25.

׌೾෹, จন෵, 2010, “լ୪ฅլଭ࣡ฃԧசਐਏୋ࣡ܛ

఼ծଭୋ׆ୡલ෈ւծ઩ࢠ౿ۀઽේ,”լ୪෈઴֜,୪ 58֫ 2෹, pp. 145-177.

ૈটੰ, ઠন଀, ෛଠڇ, 2003, “֝ٛজକ୪ඨԧգଭ֜୺

࣡ฃंজࢫण۩ಈंজ,”෉֝஺֜ਏਆഗվ෈ฎ஺,୪

40֫ 1෹, pp. 40-47.

ૈটੰ, ෛଠڇ, 2005, “֝୪଀କԧգ࣡ܛ઩ݗࠛজକ୪

ඨীणୀԧգଭण۩ಈন઩ւ෉֝୪ण֗,” ෉֝஺֜

ਏਆഗվ෈ฎ஺, ୪42֫ 3෹, pp. 225-232.

ૈটੰ, ଲਉ׆, 2010, “णశׁুਏୋଭตଘনՑ୨઴

֜,”෉֝஺֜ਏਆഗվ෈ฎ஺,୪47֫4෹, pp. 433-439.

ଗࣦॿ, ઑ਎߾, 2004, “ଵ࣭ૉ৤৤টࢄਏୋଭऄඇন઩

۩෉ Ց୨,” ړડլ୪઴֜, ୪45֫ 2෹, pp. 211-233.

Crowder W.J. and Hamed A., 1993, “A Cointegration Test For Oil Futures Market Efficiency,” Journal Of Futures Markets, Vol. 13, No. 8, pp. 933-941.

Cuñado J. and Gracia F.P., 2003, “Do oil price shocks matter? Evidence for some European countries,” Energy Economics, Vol. 25, No. 2, pp. 137-154.

Energy Information Association, 2012.1.30, http://www.eia.gov/

dnav/pet/pet_pri_fut_s1_m.htm.

Fama E.F., 1970, “Efficient Capital Markets: A Review Of Theory And Empirical Work,” The Journal Of Finance, Vol. 25, No. 2, pp. 383-417.

Gjølberg O., 1985, “Is The Spot Market For Oil Products Efficient?: Some Rotterdam Evidence,” Energy Economics, Vol. 7, No. 4, pp. 231-236.

Gregory, A.W. and Hansen, B.E., 1996, “Residual-Based Tests For Cointegration In Models With Regime Shifts,”

Journal Of Econometrics, Vol. 70, pp. 99-126.

Hansen, B.E., 1992, “Tests For Parameter Instability In Regressions With I(1) Processes,” Journal Of Business And Economic Statistics, Vol. 10, pp. 321-335.

Johansen, S., 1988, “Statistical Analysis Of Cointegration Vectors,” Journal Of Economic Dynamics And Control, Vol. 12, pp. 231-254.

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"11&/%*9

Table 1. ADF Unit root test results

1986.09 ~ 2011.12

Variables

Levels 1^st differences

no trend & no constant

no trend &

constant trend & constant no trend & no constant

no trend &

constant trend & constant

Spot 0.690 -0.459 -2.037 -11.443*** -11.463*** -11.469***

Futures 1 0.705 -0.441 -2.020 -11.335*** -11.355*** -11.362***

Futures 2 0.792 -0.351 -1.948 -11.034*** -11.056*** -11.064***

Futures 3 0.851 -0.291 -1.897 -10.845*** -10.868*** -10.878***

Futures 4 0.898 -0.245 -1.854 -10.710*** -10.735*** -10.746***

Table 2. PP Unit root test results

1986.09 ~ 2011.12

Variables

Levels 1^st differences

no trend & no constant

no trend &

constant trend & constant no trend & no constant

no trend &

constant trend & constant

Spot -0.025 -1.230 -2.966 -11.549*** -11.562*** -11.564***

Futures 1 -0.018 -1.219 -2.954 -11.434*** -11.448*** -11.450***

Futures 2 0.052 -1.127 -2.861 -11.095*** -11.110*** -11.114***

Futures 3 0.101 -1.063 -2.793 -10.881*** -10.897*** -10.903***

Futures 4 0.138 -1.016 -2.737 -10.733*** -10.751*** -10.757***

ෛଠڇ

ইۦ Դڐʂॡİ قȃݓۙڙėॡę ҙİս (欧G 彳櫾躇G 缧48嘳G 缧3埲G 垾畢)

׌ࢢ஺

2009țæĶʂॡİঞąęॡęۋॡԐ ą܃ॡę ą܃ॡԐ

2012țԴڐʂॡİقȃݓ֨֟ࢰėॡҙ

ėॡԵԐ

ইۦ Դڐʂॡİ ėॡٍĵՙ ٍĵڙ (E-mail; [email protected])