미국 구매관리자지수가 국내 산업주가에 미치는 영향

• 영문명: The Impact of the US Purchasing Manager’ Index on Stock Returns in Korea
• 발행기관: 한국무역연구원
• 저자명: 전지홍(Ji-Hong Jeon) 이창민(Chang-Min Lee)
• 간행물 정보: 『무역연구』제12권 제6호, 373~387쪽, 전체 15쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2016.12.31

영문 초록

The purpose of this paper is to investigate the impact of the US Purchasing Manager’s Index (PMI) on stock returns in Korean industries. A Vector Error Correction Model (VECM) is used to analyze the dynamic inter-relationship which exists among the stock indices of 6 Korean industries, KOSPI index in Korea, S&P 500 index, West Texas Intermediate oil price and PMI in the US during the period from January 1993 to December 2015. The results show that an increase in the US PMI gives a positive impact as an increase in the stock index returns which is consistent with previous literature. In particular, the electric and electronics industry had the largest response in terms of stock returns in the six industries to the impulse of the US PMI. The study contributes to the extant literature by establishing that the US PMI exerts significant influence on stock returns of Korean industries.

키워드

PMI Stock VECM