논문 상세보기

Long-run and Short-run Causality from Exchange Rates to the Korea Composite Stock Price Index KCI 등재 SCOPUS

  • 언어ENG
  • URLhttps://db.koreascholar.com/Article/Detail/370668
서비스가 종료되어 열람이 제한될 수 있습니다.
한국유통과학회 (Korea Distribution Science Association)
초록

The paper aims to test long-term and short-term causality from four exchange rates, the Korean won/$US, the Korean won/Euro, the Korean won/Japanese yen, and the Korean won/Chinese yuan, to the Korea Composite Stock Price Index in the presence of several macroeconomic variables using monthly data from January 1986 to June 2018. The results of Johansen cointegration tests show that there exists at least one cointegrating equation, which indicates that long-run causality from an exchange rate to the Korean stock market will exist. The results of vector error correction estimates show that: for long-term causality, the coefficient of the error correction term is significant with a negative sign, that is, long-term causality from exchange rates to the Korean stock market is observed. For short-term causality, the coefficient of the Japanese yen exchange rate is significant with a positive sign, that is, short-term causality from the Japanese yen exchange rate to the Korean stock market is observed. The coefficient of the financial crises i.e. 1997-1999 Asian financial crisis and 2007- 2008 global financial crisis on the endogenous variables in the model and the Korean economy is significant. The result indicates that the financial crises have considerably affected the Korean economy, especially a negative effect on money supply.

목차
Abstract
 1. Introduction
 2. Literature Review and Hypotheses
  2.1. Long-run Relationship between ExchangeRates and Stock Prices
  2.2. Short-run Relationship between ExchangeRates and Stock Prices
  2.3. The Impact of Global Financial Crises onStock Market Returns
 3. Empirical Specification
 4. Data and Methodology
  4.1. Endogenous Variables
  4.2. Exogenous Variable
  4.3. Normalization and Transformation
 5. Empirical Results
 6. Discussion
 7. Conclusions
 References
저자
  • Tantatape BRAHMASRENE(Professor of Finance & International Business, College of Business, Purdue University Northwest) Corresponding Author.
  • Jung Wan LEE(Administrative Sciences Department, Metropolitan College, Boston University)