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ABSTRACT 10

제1장 서론 14

제1절 연구의 배경 및 목적 14

제2절 연구의 방법 및 구성 16

제2장 선행연구 고찰 및 연구방법 19

제1절 국내 선행연구 19

제2절 국외 선행연구 25

제3절 연구방법 31

1. 단위근 검정 31

2. 공적분 검정 35

3. VAR 모형 38

4. 충격반응분석 39

5. 분산분해분석 40

제3장 주가지수와 주요 경제지표 42

제1절 기본모형과 통계자료 42

제2절 KOSPI지수 45

제3절 주요 경제지표 현황 51

1. 통화량 51

2. 원/달러환율 54

3. 산업생산지수 57

4. 금리 60

5. 외국인주식순매수금액 64

6. 외평채CDS프리미엄 67

7. 다우지수 69

8. 주요 경제지표의 변화가 KOSPI지수에 미칠 영향 71

제4장 백터오차수정모형에 의한 분석 72

제1절 일별 모형 분석 결과 72

1. 분석 모형 설정 72

2. 단위근 검정 73

3. 공적분 검정 75

4. 장기균형식 추정결과 76

5. 오차수정모형 추정결과 77

6. 충격반응 및 분산분해 분석 80

제2절 월별 모형 분석 결과 84

1. 분석 모형 설정 84

2. 단위근 검정 85

3. 공적분 검정 87

4. 장기균형식 추정결과 88

5. 오차수정모형 추정결과 89

6. 충격반응 및 분산분해 분석 92

제5장 투자환경의 구조적 변화 분석 96

제1절 일별모형에 의한 분석 결과 96

1. 모형설정과 추정결과 96

2. 투자환경의 구조적 변화 분석 98

3. 충격반응 및 분산분해 분석 103

제2절 월별모형에 의한 분석 결과 107

1. 모형설정과 추정결과 107

2. 투자환경의 구조적 변화 분석 109

3. 충격반응 및 분산분해 분석 113

제6장 요약 및 결론 118

제1절 연구결과 및 요약 118

제2절 결론 123

참고문헌 126

표목차

〈표 1〉 국내 선행연구 요약 25

〈표 2〉 국외 선행연구 요약 30

〈표 3〉 KOSPI시장의 주요지표 47

〈표 4〉 투자자별 주식거래 순매수 65

〈표 5〉 KOSPI시장의 투자주체별 주주수 분포 65

〈표 6〉 KOSPI시장의 투자주체별 주식소유분포(시가총액기준) 66

〈표 7〉 주요 경제변수가 KOSPI에 미칠 영향 예상표 71

〈표 8〉 ADF 검정결과 74

〈표 9〉 Phillips-Perron 검정결과 74

〈표 10〉 KPSS 검정결과 74

〈표 11〉 Johansen 검정 75

〈표 12〉 장기균형벡터 추정 결과 76

〈표 13〉 KOSPI지수의 예측오차 분산분해 결과 83

〈표 14〉 ADF 검정결과 85

〈표 15〉 Phillips-Perron 검정결과 86

〈표 16〉 KPSS 검정결과 86

〈표 17〉 Johansen 검정 87

〈표 18〉 장기균형벡터 추정 결과 88

〈표 19〉 KOSPI지수의 예측오차 분산분해 결과 95

〈표 20〉 일별기준 KOSPI 방정식 97

〈표 21〉 기간별 KOSPI방정식 추정결과 102

〈표 22〉 KOSPI지수의 예측오차 분산분해 결과 106

〈표 23〉 월별기준 KOSPI 방정식 108

〈표 24〉 기간별 KOSPI방정식 추정결과 112

〈표 25〉 KOSPI지수의 예측오차 분산분해 결과 116

그림목차

〈그림 1〉 KOSPI지수 추이 49

〈그림 2〉 미국발 금융위기 사건 일지 50

〈그림 3〉 통화량(M2)과 KOSPI 추이 52

〈그림 4〉 통화량(M2)변동률과 KOSPI변동률 추이 53

〈그림 5〉 외환보유액 추이 54

〈그림 6〉 원/달러환율(KRW)과 KOSPI지수의 변동률 추이 55

〈그림 7〉 산업생산지수(IIP) 추이 58

〈그림 8〉 산업생산지수(IIP)와 KOSPI지수의 변동률 추이 59

〈그림 9〉 국내 회사채금리(CB)와 미국채금리(USIR)의 추이 61

〈그림 10〉 KOSPI지수와 회사채금리(CB)의 변동률 추이 62

〈그림 11〉 KOSPI지수와 미국채 금리(USIR)의 변동률 추이 63

〈그림 12〉 외평채CDS프리미엄과 KOSPI 추이 68

〈그림 13〉 DOW지수와 KOSPI지수 추이 70

〈그림 14〉 충격반응분석 81

〈그림 15〉 충격반응분석 93

〈그림 16〉 CUSUM 검정결과 100

〈그림 17〉 축차회귀분석 결과 추정계수 변화 추이 101

〈그림 18〉 충격반응분석 105

〈그림 19〉 CUSUM 검정결과 110

〈그림 20〉 축차회귀분석 결과 추정계수 변화 추이 111

〈그림 21〉 충격반응분석 114

초록보기

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. Among various economic indices, a stock index provides an accurate reflection of the current economic situation. In January 1992, the Korean stock market saw the lifting of previous government regulations through a stock market liberation project. The complete removal of foreigners’ stock investment in May 1998 was the cornerstone of a maturing Korean stock market. In 2000, the KOSPI commenced a remarkable long-run upward trend, surpassing the oscillating pattern between 500 and 1000 points of the previous twenty years. At the same time, the financial crisis resulting stemming from the subprime mortgage crisis in America impacted the Korean market.

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-to-specific 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.

In order to verify the factors determining the KOSPI’s performance after 2000, a VECM was analyzed. On the basis of the results from a previous study, several key foreign and domestic macro economic variables that are likely to influence the KOSPI were selected. The eight macro economic variables selected include: Money Supply, KRW/USD Exchange Rate, Index of Industrial Product, Corporate Bond Yields, US Treasury bills, foreign investors' net purchase, foreign exchange equalization bond CDS premium, and the Dow Jones index. Of these, foreign investors' net purchase, the foreign exchange equalization bond CDS premium was not included in previous studies. The VAR (Vector Autoregressive) model including the nine variables was selected as a baseline model whose stability was tested using the unit root test. In the event of the unit root test results yielding unstationary level variables, a cointegration test can be performed to examine the long-term equilibrium relationship between the level variables. The existence of a cointegration relationship between level variables with a unit root allows the long-run equation, i.e., the cointegration vector to be estimated by making an interpretation about the relationship. The VECM was also estimated providing discussions about the short-term adjustment. Moreover, impulse response functions and a variance decomposition analysis using the VAR were also performed; investigating changes in the KOSPI according to changes in the macro economic variables. The second aim of this paper is to test whether there was a structural change in the investment environment and to verify any resulting changes in the factors that influence the KOSPI. Similar to the selection of the model for the VECM, this model was also based on previous study results and the selected eight variables are identical to those in the first part of this study. The equation for analyzing the structural changes in the investment environment includes the KOSPI and the eight determining factors; the variable of interest (KOSPI) is on the left-hand side of the equation. The CUSUM test was conducted on the chosen model using the general-to-specific approach. If the results of the CUSUM analysis confirm the existence of structural changes in the investment environment, the KOSPI equation was estimated both before and after the change. The changes in the factors determining the KOSPI as a result of structural changes in the investment environment were analyzed by looking at the significance and magnitude of the correlation coefficient for the KOSPI’s determining factors, before and after the change. Impulse response and variance decomposition analyses were also carried out on the VAR model to investigate changes in the KOSPI following changes in the macro economic variables.

The results from the VECM and the structural changes in the investment environment can be summarized by the following five points. First, there was structural change in the investment environment for the Korean stock market between 2004-2005 and 2007-2008. The empirical 1,000 point upper bound for the KOSPI was broken in 2004-2005, after which the upward trend continued. The KOSPI was also affected by the US subprime mortgage crisis in 2007-2008. Second, the cointegration vector estimation results showed a positive correlation between interest rates (corporate bond yields) and the KOSPI over the long-run. Common sense tells us that this relationship should be a negative one; increasing interest rates curb growth and this is generally negative for a stock index. The results of this study highlight the possibility of positive correlation between interest rates and the KOSPI during the recovery phase of the business cycle. Third, in terms of the size of the impulse responses, the Dow Jones index showed the strongest positive impulse response and the KRW/USD exchange rate showed the strongest negative impulse response. The fourth point relates to the estimation of the error correction term in the VECM. The error correction term-the speed of adjustment to the long-term equilibrium-was -0.0001 for the daily data model and -0.09 for the monthly data model, indicating that the adjustment speed to a long-term equilibrium is faster for monthly data than for daily data. This can be attributed to the fact that the monthly data contain all the daily impulses. Finally, the results from the variance decomposition indicate that the KOSPI is largely affected by itself and by the Dow Jones index, regardless of the analysis period.

참고문헌 (74건) : 자료제공( 네이버학술정보 )

참고문헌 목록에 대한 테이블로 번호, 참고문헌, 국회도서관 소장유무로 구성되어 있습니다.
번호 참고문헌 국회도서관 소장유무
1 금융시계열분석 , 경문사, 2001. 미소장
2 換率變動이 資金移動 및 證券市場에 미치는 效果 소장
3 株價와 巨視經濟變數間의 關係 分析 네이버 미소장
4 株價와 主要巨視經濟變數間의 相互關係에 대한 實證分析 소장
5 국제 투자환경 변화에 따른 외국인 주식투자행태 변화 분석 (통권724호 (63권. 3호)) 네이버 미소장
6 한국증시에서의 외국인의 주식투자행태 및 영향력 네이버 미소장
7 An Analysis of Interaction between Stocks and Exchange Rates 소장
8 환율과 주가간의 인과관계 분석 : 금융위기를 경험한 아시아국가를 중심으로 소장
9 주가와 통화량의 통계적 인과관계 분석 , 경영연구 , 고려대학교, 1993. 미소장
10 외국인 주식투자자금 유출입 요인 분석 (통권706호 (61권. 9호)) 네이버 미소장
11 “주식식시장동조화와 다운사이드 리스크”, 재무관리연구 , 제14권 제1호, 한국재무관리학회, 2002. 미소장
12 거시경제변수와 주가-한국주식시장에서의 실증분석 , 재무관리연구, 제8권 제2호, 한국재무관리학회, 1991. 미소장
13 Empirical Analysis on the Relevance of Main Macroeconomic Factors and KOSPI 소장
14 Circulative Relation of Stock, Bond, Real Estate Markers to Business Cycle 소장
15 환율과 주가의 관계 : 국제적 실증비교 소장
16 主要巨視經濟變數와 株價의 相互聯關性 分析 소장
17 D33VECM모형을 이용한 거시경제변수와 주가간의 관계에 대한 실증분석 , 재무관리논집 , 제12권 제1호, 한국재무관리학회, 2006. 미소장
18 Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines 네이버 미소장
19 “Exchange Rate and Stock Prices: A Study on the US Capital Markets Under Floating Exchange Rates,” Akron Business and Economic Review, Vol.12, 1981, pp.7-12. 미소장
20 Factor analysis and AIC 네이버 미소장
21 The impact of U.S. devaluations on the stock prices of multinational corporations 네이버 미소장
22 Interest rates, inflation, and stock prices: the case of the Athens Stock Exchange 네이버 미소장
23 Does comovement among exchange rates imply market inefficiency? 네이버 미소장
24 Budget deficits and the value of the dollar: An application of cointegration and error-correction modeling 네이버 미소장
25 “The Relationship between Stock Price and Exchange Rate: Empirical Evidence Based on the KLSE Market,” Asian Economic Review, Vol.42, 2000, pp.39-49. 미소장
26 U.S. stock prices and macroeconomic fundamentals 네이버 미소장
27 Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA 네이버 미소장
28 3,7-disubstituted bicyclo[3.3.1]nonanes—III: Synthesis and conformation of bicyclo[3.3.1]nonane-3α,7α-dicarboxylic acid, its dimethyl ester and some other 3,7-disubstituted bicyclo[3.3.1]nonanes; adamantane as an integrated holding system 네이버 미소장
29 D44Time-lagged Interactions Between Stock Price and Selected Economic Variables, Journal ofPortfolio Management, Vol.17, 1991, pp.61-67. 미소장
30 What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns 네이버 미소장
31 Economic Forces and the Stock Market 네이버 미소장
32 “What do the VARs mean. Measuring the output effects of monetary policy,” Journal of Monetary Economics, Vol.41, 1998, pp.277-300. 미소장
33 Efficient Capital Markets and the Quantity Theory of Money 네이버 미소장
34 “Selection of the truncation lag in structural VARs (or VECMs) with long-run restrictions,” Bank of Canada Working Paper, 1995, pp.9-49. 미소장
35 Distribution of the Estimators for Autoregressive Time Series With a Unit Root 네이버 미소장
36 Forecasting and conditional projection using realistic prior distributions 네이버 미소장
37 Co-Integration and Error Correction: Representation, Estimation, and Testing 네이버 미소장
38 Efficient Tests for an Autoregressive Unit Root 네이버 미소장
39 Efficient Capital Markets: A Review of Theory and Empirical Work 네이버 미소장
40 Stock Returns, Real Activity, Inflation, and Money 네이버 미소장
41 Stock Price Reaction of Multinational Firms to Exchange Realignments 네이버 미소장
42 “Comparing Alternative Tests of Causality in Temporal System,” Journal of Economics, Vol.21, 1983, pp.161-194. 미소장
43 Cointegration and Error Correction Models: Intertemporal Causality between Index and Futures Prices 네이버 미소장
44 On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 네이버 미소장
45 Large Sample Properties of Generalized Method of Moments Estimators 네이버 미소장
46 Macroeconomic information and stock prices 네이버 미소장
47 The Supply of Money and Common Stock Prices 네이버 미소장
48 Statistical analysis of cointegration vectors 네이버 미소장
49 “Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money,” Oxford Bulletin of Economics and Statistics, Vol.52, 1990, pp.169-210. 미소장
50 Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? 네이버 미소장
51 Cointegration and causality between macroeconomic variables and stock market returns 네이버 미소장
52 On the power of the KPSS test of stationarity against fractionally-integrated alternatives 네이버 미소장
53 Corporate Profits and the U.S. Dollar Exchange Rate 네이버 미소장
54 “The Foreign Exchange Exposure of Australian Stocks,” Accounting and Finance, Vol.33, 1993, pp.19-32. 미소장
55 Granger-causality in cointegrated VAR processes The case of the term structure 네이버 미소장
56 Numerical distribution functions of likelihood ratio tests for cointegration 네이버 미소장
57 Stock Prices, News, and Business Conditions 네이버 미소장
58 Trends and random walks in macroeconmic time series: Some evidence and implications 네이버 미소장
59 Econometrica Operating Procedures 네이버 미소장
60 “Inference and forecasting for fractional autoregressive integrated moving average models, with an application to US and UK inflation,” Econometric Institute report 171, 1999. 미소장
61 A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 네이버 미소장
62 Testing for a Unit Root in Time Series Regression 네이버 미소장
63 Macro shocks and real stock prices 네이버 미소장
64 Statistical analysis of cointegration vectors 네이버 미소장
65 Effects of model specification on tests for unit roots in macroeconomic data 네이버 미소장
66 Tests for Unit Roots: A Monte Carlo Investigation 네이버 미소장
67 Stock Market Volatility 네이버 미소장
68 Money, Income, and Causality 네이버 미소장
69 Asset Returns, Discount Rate Changes, and Market Efficiency 네이버 미소장
70 “An Analysis of Exchange Rates and Stock Prices- The US Experience Between 1980 and 1986,” Akron Business and Economic Review, Vol.19, 1988, pp.7-16. 미소장
71 Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions 네이버 미소장
72 On Stock Market Returns and Monetary Policy 네이버 미소장
73 A General Equilibrium Approach To Monetary Theory 네이버 미소장
74 “Exchange Rates, Stock Prices, and Money Markets: Evidence from Singapore,” Journal of Asian Economics, Vol.12, 2001, pp.445 –458. 미소장

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