Earticle

초록

영어

Most studies on the relation between stock prices and exchange rates have shown that there exists a positive correlation. But there are conflicting arguments which is a causal variable. This paper applies unit root and cointegration models to investigate the appropriate Granger relations between stock prices and exchange rates using data on the Korean financial market after the liberalization. This study uses 1,666 daily stock index of workdays from May 25, 1998 to May 14, 2005. The time periods of the analysis is divided into three periods according to the trends of exchange rates of Korean won/U.S dollar. This paper used such variables as KOSPI and Korean won/U.S dollar exchange rates to observe a relation between stock prices and exchange rates. The empirical results show that there exists causalities between stock prices and exchange rates. Throughout the whole period, the research finds out that stock prices do cause exchange rates movements, which contradicts the earlier findings about the Korean stock markets. In other words, the relation between stock prices and exchange rates in Korea supports the portfolio approach. This seems to be a result of the liberalization of the Korean financial markets.

목차

I. 서론
 II. 자본시장 개방과 외국인 투자 동향
 III. 선행 연구 검토
 IV. 연구 모형 설계 및 연구 자료 특성 분석
 V. 연구결과 분석 및 논의
 VI. 결론
 참고문헌
 Abstract

키워드

저자

• 임경원 [ Kyoung-Won Lim | 경희대학교 강사 ] 주저자
• 이수철 [ Soo-Chul Lee | 용인대학교 경영학부 부교수 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  생산성연구: 국제융합학술지 [Productivity Research: An International Interdisciplinary Journal]

• 간기

  격월간

• pISSN

  1225-3553

• 수록기간

  1987~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 325 DDC 330