거시경제 변수 변화와 KOSPI 지수 변동의 연관성 분석

• 영문명: The Empirical Study of Variation of KOSPI Index & Macro Economic Variation
• 발행기관: 한국통상정보학회
• 저자명: 안창호(Chang-Ho, An) 최창열(Chang-Yeoul, Choi)
• 간행물 정보: 『통상정보연구』제12권 제4호, 171~192쪽, 전체 22쪽
• 주제분류: 사회과학 > 무역학
• 파일형태: PDF
• 발행일자: 2010.12.30

영문 초록

In general, a stock index and its individual stocks are assumed to follow a random walk. A stock index is an important source of information and one that is seen by people everyday, regardless of their investment intentions. This paper examines the correlation between the KOSPI―the index that best reflects the Korean stock market and the macro ― economic variables that have been found to influence the index by previous studies. The sample period considers the years after 2000 when the Korean stock market matured as restrictions on foreign investors were removed. For this purpose, a Vector Error Correction Model (VECM) and KOSPI equation with a general pacific approach were used. This paper aims at verifying the factors that determined the KOSPI after 2000 and at examining whether there was structural change in the investment environment. It also investigates changes in the factors determining the KOSPI’s performance as a result of structural changes in the investment environment. The VAR (Vector Autoregressive) model including the nine variables was selected as a baseline model whose stability was tested using the unit root test. The results from the VECM and the structural changes in the investment environment can be summarized by the following Inner story points.

목차

Ⅰ. 서론

Ⅱ. 현황 및 선행연구

Ⅲ. 모형설정 및 추정방법

Ⅳ. 실증분석

Ⅴ. 결론

참고문헌

Abstract

키워드

VAR VECM KOSPI Stock Index Exchange rate International Trade Variation