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경제위기에 따른 금융업 주가와 거시경제변수의 관계 변화

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Author(s)
박계순
Issued Date
2011
Abstract
This study examines the impacts of financial industry stock return on macroeconomic variables under the global economic crisis. Specifically, this study is to explore whether or not there exist the impacts among financial industries such as the bank, the security, and the insurance. And this study hypothesizes that the relationship between financial industry stock price and macroeconomic variables, if any, are reinforced right after the global economic crisis of 2008. This study uses the unit root test method, the Chow test method, the Granger causality test method, multiple regression analysis, and the impulse-response function analysis. The study uses daily data of exchange rates and interest rates from the three financial industries and macroeconomic variables during a January 2005 to December 2010 sample period. The pre-crisis sample period is composed of a period from January 2005 to December 2007. The post-crisis sample period is made up of a period from January 2008 to December 2010.
Major results are summarized as follows.
First, this paper finds the fact that the exchange rates and the interest rates of the Korea financial market have a negative impact on the financial industry index returns of the Korean stock market. Second, this paper finds the fact that the impacts on the financial industry index returns of the exchange rates and the interest rates are quite different between the industries of the bank, the security, and the insurance. Third, this paper finds the fact that the impacts are reinforced during the post-crisis sample period. This results seem to make trading decisions based on the already known the Korean stock market returns data more frequently than the individual investors or institutional investors.
Alternative Title
The Relationship Changes of Macroeconomic Variables and Financial Industry Stock Price with Economic Crisis
Alternative Author(s)
Bark, Kyei-Soon
Affiliation
조선대학교 대학원
Department
경영대학원 경영학과
Advisor
이한재
Awarded Date
2012. 2
Table Of Contents
Ⅰ. 서 론 1
1. 연구의 필요성 1
2. 연구의 목적 2
3. 연구의 내용 3
4. 논문의 구성 4

Ⅱ. 선행연구 5
1. 환율과 주가에 관한 선행연구 5
2. 금리와 주가에 관한 선행연구 14

Ⅲ. 연구방법론 21
1. 단위근 검증법 21
2. 구조적 변동 검증법 28
3. Granger 인과관계 검증법 31
4. 다중회귀모형 검증법 33
5. 충격반응함수 분석법 35

Ⅳ. 자료 및 기초통계량 37
1. 자료 및 표본기간 37
2. 기초통계량 분석결과 40

Ⅴ. 실증적 분석 43
1. 단위근 분석결과 43
2. 구조적 변동 분석결과 45
3. Granger 인과관계 분석결과 46
4. 다중회귀모형 분석결과 56
5. 충격반응함수 분석결과 60

Ⅵ. 결 론 69

참고문헌 72

부록 77
Degree
Master
Publisher
조선대학교 대학원
Citation
박계순. (2011). 경제위기에 따른 금융업 주가와 거시경제변수의 관계 변화
Type
Dissertation
URI
https://oak.chosun.ac.kr/handle/2020.oak/1596
http://chosun.dcollection.net/common/orgView/200000256614
Appears in Collections:
Business > Theses(Master)(경영대학원)
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