The Discovery of Information Spillover Effect Between SSFs and Spot According to Market Amount
Authors:   Asia-Europe Perspective Association, Moon Gyuhyen 
Published: June 2018

The study investigates the lead-lag relations by analyzing the temporal relationship between the returns of single stock futures and those of spot. Five single stock futures are selected among total 25 SSFs listed in Korea Exchanges according to the market amount. The market amount of selected samples is about 71% of total single stock futures. They are assumed as the representatives of the single stock futures market. So far, a lot of papers have been published related to the price discovery. Most of previous researches have verified the US stock market leads to other countries’ stock markets in the broad perspective. On the other hand, many papers have tried to show the information spillover effect between futures markets and spot markets with various futures products such as stock index futures, physical product futures,interest futures, exchange futures. In particular, most papers specified to stock index futures markets which are successful in introduction of index stock futures haven’t shown the consistent results, which futures markets lead spot markets. Domestic researches related to information spillover effects have focused on KOSPI 200 futures index market. These results also haven't suggested consistent performances similar to other previous results. This paper tries to analyze the relationship between returns of single stock futures and those of stocks on the microscopic aspects. The research employes five single stock futures like SK hynix, Samsung Electronics, Hyundai Motors, SK innovation, LG Electronics. The sample periods are from December 14,2009 to February 15, 2012. 542 observations both from returns of spot and those of nearby single stock futures are calculated taking the natural log of the price at t by the price at t-1. VAR model is used to catch the dynamic information spillover effects. The paper approaches three areas in detail.
Is there information spillover effects between the returns of single stock futures and those of spots? How long do the information spillover effects go on? How much of the movements in one market can be explained by innovation in other market? To get the answers the above questions, we employed the Granger-causality test, impulse response test, and variance decomposition in order. In general, we take two steps to use the time series model, the unit root test for stationarity and cointegration test for long-run equilibrium. Fortunately, return data has been testified to be stationary through many previous researches. The main results with returns of the single stock futures and spots as follows. First, the returns of SSFs and spot of Hyundai Motors are highest owing to the growth of motor’s industry, but those of LG Electronics are negative due to low performance of smart phone area. The standard deviation of Samsung Electronics is lowest, but the standard deviations of SK Hynix and SK Innovation are highest due to ownership problem and unstable oil industries. It is very important to estimate the lags of VAR model. We figure out the lags with Schwarz’s Bayesian information criterion (BIC) used generally. SK Hynix, SK Innovation and LG Electronics show the lowest values of BIC at 2 lags. and Samsung Electronics and Hyundai Motors suggest the lowest values of BIC at 3 lags. So VAR(3) models for Samsung Electronics and Hyundai Motors, VAR(2) models for SK Hynix, SK Innovation and LG Electronics are employed.
Second, the return of SK Hynix futures tends to lead that of spot at the 10% significant level and the return of SK spot also leads that of futures at the 10% significant level. The return of Samsung Electronics futures alone predicts that of spot at 10% significant level. The return of Hyundai Motors futures tends to lead that of spot at the 5% significant level and the return of Hyundai Motors spot also leads that of futures at the 10% significant level.