투자환경 변화에 따른 KOSPI지수 결정요인에 관한 연구

Abstract

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？Dthe index that best reflects the Korean stock market？Dand 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？C2005 and 2007？C2008. The empirical 1,000 point upper bound for the KOSPI was broken in 2004？C2005, after which the upward trend continued. The KOSPI was also affected by the US subprime mortgage crisis in 2007？C2008. 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？Dthe speed of adjustment to the long？\term equilibrium？Dwas ？C0.0001 for the daily data model and ？C0.09 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.