경제위기에 따른 금융업 주가와 거시경제변수의 관계 변화

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.