Earticle

초록

영어

This paper investigates the long-run equilibrium relationship between stock prices and six macroeconomic variables, using Jonhansen’s co-integration analysis. In addition, using Hansen and Johansen (1993)’s recursive likelihood ratio test of the constant cointegration space, this study analyzes the stability of cointegraing vectors, i.e, the structural shift of the relationships between the macroeconomic variables We find that the Korean market is cointegrated with six macroecomonic forces However , the regime shift was found some time in 1987. Thus, with the dummy variable for the structural changes, this study investigates the long-run relationship between the stock prices and macroeconomic variables and shows that the signs of co-integrating vector are the same as the signs expected by the hypotheses. The stock prices are negatively related with the long-term interest rate, the oil prices and Korean won against the US dollars, and positively related with the inflation, the industrial production, and the supply of money.

목차

요약
 I. 서론
 II. 자료 및 변수들간의 관계
 III. 연구방법론
  1. 단위근 검증
  2. 공적분 분석과 구조변화 검증(Structural Break Test)
 IV. 실증결과
  1. 단위근 검증 결과
  2. Johansen 의 공적분 분석과 구조변화 검증 결과
 V. 결언
 참고문헌
 Abstract

키워드

저자

• 정성창 [ Sung-Chang Jung | 전남대학교 경영대학 교수 ]
• 정석영 [ S. Young Chung | 원광대학교 경영학부 전임강사 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330