An Exploration of Dynamic Relationships between Macroeconomic Variables and Stock Prices in Korea Revisited

• 발행기관: 한국유통과학회
• 저자명: Jung Wan LEE Tantatape BRAHMASRENE
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.10, 23~34쪽, 전체 12쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.10.30

영문 초록

The paper revisits the author’s previous paper to examine short-run and long-run dynamic relationships between macroeconomic variables and stock prices in Korea. The data is updated to the period for which monthly data are available from January 1986 to June 2018 (390 observations) retrieved from the Bank of Korea. The results of Johansen cointegration test indicate that at least one cointegrating equation exists, confirming there is a long-run equilibrium relationship between macroeconomic variables and stock prices in Korea. The results of vector error correction estimates confirm that: 1) the coefficient of the error correction term is significant with a negative sign, which is, a long-run dynamic relationship is observed between macroeconomic variables and stock prices; 2) for short-run dynamics, the nominal exchange rate of the Korean won per the US dollar is positively related to stock prices, while interest rates are negatively related to stock prices in the short-run; 3) the coefficient of global financial crises is insignificant, that is, the changes of stock prices are determined largely by their own dynamics in the model. The results suggest only that the global financial crises neither cause instability in the cointegrating vector, nor affect significant changes in the endogenous variables in the model.

목차

1. Introduction

2. Literature Review

3. Data and Methods

4. Results

5. Discussion and Policy Implication

6. Conclusions

References

키워드

Stock Prices Macroeconomic Variables Global Financial Crisis Causality Korea