This article examines the lead-lag relation between Won/dollar spot and futures, the effectiveness of trading volume as well as the hedge performance of Won/dollar futures against down side risk of Won/dollar spot market. For this purpose, we employ the traditional minimum variance hedge model of Ederington(1979), bivariate vector error correction model(VECM) and bivariate GARCH(1,1) model to test hedge effects and we introduced the Granger causality test based on VECM to test the lead-lag relations and the effectiveness of trading volume. The whole sample period is covering from April 23, 1999 to January 29, 2014. To study the hedge performance we divided the whole sample period into within sample and out-of sample period and into before and after global financial crisis. We use the daily prices of the near-by Won/dollar futures and spot. The major empirical results are as follows; First, according to the lead-lag results, we find that there is a feed relations between Won/dollar spot and futures returns with a statistically significant level but the impact of Won/dollar futures on spot market is dominant. After the global financial crisis, this impact is more strong than before financial crisis. Second, we also find that the changes of trading volume of Won/dollar futures has an impact on the returns of Won/dollar spot and futures but not vice versa. Third, in terms of the hedge performance, there is no significant difference in the hedge performance among the minimum variance hedge model, VECM(10) and GARCH(1,1) models during the within sample period and out-of sample period From these empirical results we may infer that the hedge performance and price discovery function of Won/dollar futures are well operated. We also think these kinds of results would be a little bit helpful for a hedger to set up investment and hedge strategies in Won/dollar spot and futures markets.