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> 한국통상정보학회 > 통상정보연구 > 12권 4호

지역통상정보 : 거시경제 변수 변화와 KOSPI 지수 변동의 연관성 분석

The Empirical Study of Variation of KOSPI Index & Macro Economic Variation

안창호 ( Chang Ho An ) , 최창열 ( Chang Yeoul Choi )

- 발행기관 : 한국통상정보학회

- 발행년도 : 2010

- 간행물 : 통상정보연구, 12권 4호

- 페이지 : pp.171-192 ( 총 22 페이지 )


학술발표대회집, 워크숍 자료집 중 1,2 페이지 논문은 ‘요약’만 제공되는 경우가 있으니,

구매 전에 간행물명, 페이지 수 확인 부탁 드립니다.

6,200
논문제목
초록(외국어)
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. 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 pacific 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. The VAR (Vector Autoregressive) model including the nine variables was selected as a baseline model whose stability was tested using the unit root test. 11 results from the VECM and the structral changes in the investment environment can be summarized by the following Inner story points.

논문정보
  • - 주제 : 사회과학분야 > 경제학
  • - 발행기관 : 한국통상정보학회
  • - 간행물 : 통상정보연구, 12권 4호
  • - 발행년도 : 2010
  • - 페이지 : pp.171-192 ( 총 22 페이지 )
  • - UCI(KEPA) : I410-ECN-0102-2012-320-001697774
저널정보
  • - 주제 : 사회과학분야 > 경제학
  • - 성격 : 학술지
  • - 간기 : 계간
  • - 국내 등재 : KCI 등재
  • - 해외 등재 : -
  • - ISSN : 1598-7604
  • - 수록범위 : 1999–2021
  • - 수록 논문수 : 1300