A Study on the Dynamic Relationship between Stock Price Index and Macroeconomic Variables
This paper analyzes the dynamic effects of Koreas macroeconomic parameters on the KOSPI index using monthly data from July 2008 to March 2017.Traditional unit root tests and cointegration approach suppose integration order as integer, so they cannot explain the long memory.Considering this limit, fractional co-integration approach is used.The results show that first, The co-integration between the share price and the macroeconomic variables are confirmed.Second, the variables in the mode 1, including index of industrial product, money and long and short term interest rates,are fractionally co-integrated.Third, Business sentiment index (BSI) and consumer sentiment index (CSI) have a long-term impact on stock prices.Last, in the Error Correction Model(ECM), S&P 500 have a positive short-term impact on the KOSPI index.This means that, there is a co-movement phenomenon between domestic stock p rice index and foreign stock price index after IMF financial crisis.Collectively, macroeconomic parameters affect stock prices, and economic sentiment index also affect share prices.Thus, it is necessary to make decisions regarding the impact of macro economic factors on investment in the stock market.
Stock Price Economic Sentiment Index Fractional Cointegration
Kin, Ki-Ji
Department of Economics, Pusan National University
国际会议
广州
英文
180-199
2017-11-23（万方平台首次上网日期，不代表论文的发表时间）