산경연구논집 (IJIDB) Vol. 10 No. 1 (p.29-37)

Uncertainty and Manufacturing Stock Market in Korea

키워드 :
Manufacturing Stock Market,Economy Policy Uncertainty,VECM

목차

Abstract
1. Introduction
2. Literature Review
3. Sample and methodology
  3.1. Sample
  3.2. Methodology
4. Results
  4.1. Unit Root Tests
  4.2. Johansen’s co-integration Test
  4.3. Granger Causality Tests
  4.4. VECM Results
  4.5. Impulse Response Function
5. Discussions
6. Conclusions
  6.1. Summary
  6.2. Limitations and Future studies
References

초록

Purpose - We study the dynamic linkages of the economic policy uncertainty (EPU) in the US on the manufacturing stock market returns in Korea. In detail, we examine the casual link between EPU index in the US and the manufacturing stock indexes in Korea.
Research design, data, and methodology - We measure mainly the distribution effect of the US EPU on the manufacturing stock market in Korea of 1990-2017 by the vector error correction model (VECM).
Result - In result, we estimate the impact of the US EPU index has significantly a negative response to the manufacturing stock market in Korea such as non-metal stock index, chemical stock index, food stock index, textile·clothes stock index, automobile·shipbuilding stock index, machinery stock index, steel·metal stock index. Also the remaining variables such as electric·electronics stock index, S&P 500, and producer price index in Korea have a negative relationship with US EPU index.
Conclusions - We find out that the relationship between EPU index of the US and the manufacturing stock market in Korea has the negative relationships. We determine the EPU of the US has the spillover effect on the industry stock markets in Korea.