Earticle

초록

영어

The purpose of this study is to examine the relationship between the stock market movement and macroeconomic variables in Mongolia and Korea. It is interesting and important to understand the relationship between the stock market and macroeconomic variables of Mongolia as a just developing stock market. The analysis was based on the Engle Granger methodology with the framework of the Vector Error Correction model (VECM). To do this, the unit root test and cointegration analysis were examined. The data are based on the period of January, 2000 to December, 2009 in the case of Mongolia, and from January, 2002 to December, 2009 in the case of Korea. Macroeconomic variables include Consumer price index (CPI), Interest rate of one year savings (IR), Money supply (M2) and Exchange rates: US dollar for both countries and Korean won for the case of Mongolia. There were a long-rung relationship between the stock market and macroeconomic variables environment, in the two countries. The unit root test results show that all variables are non-stationary at level, but they were stationary at first difference. The cointegration test result showed that there was one cointegration in Mongolian data, and two cointegrations in Korean data. Finally, from the Granger causality test results, Mongolian stock prices cause to the money supply and CPI. In the case of Korea, there were bidirectional causality between the stock prices and the interest rate. Therefore, all macroeconomic variables cause to the stock prices by unidirectional way.

목차

Abstract
 I. Introduction
 II. Literature review
 III. Background
  1) Mongolian stock market
  2) Korean stock market
 IV. Methodology and data
  1. Model
  2. Estimation
 V. Empirical results
  1. Unit root test
  2. Cointegration test
  3. Granger causality test
  4. Vector Error Correction Model
 VI. Conclusion
 References

저자

• Enkhzul Mendee [ PH.D student, School of Business Hanyang University ]

참고문헌