구조 변화를 고려한 주가와 환율의 장.단기관계에 관한 실증연구

Abstract

Abstract

In order to analyze a short term and a long term relation between a stock price and a foreign exchange rate considering structural changes, the latest measuring methods together with various models were applied, so this study shall have following distinctions from previous ones. First, in order to understand the relation between a foreign exchange rate and a stock price, we have compared and analyzed results of various models such as the simple relationship model, the monetary model, the composite model, the stock pricing model and a case of foreigner's stock investment etc while previous ones were limited to analyze only a single model. Second, since a confidence problem may happen if they analyze by separating artificially periods paying attention to relation changes inside financial markets only neglecting structural changes, we, in this study have separated periods utilizing the analysis method of Gregory and Hansen's cointegration tests(1996a,b, hereafter say G&H) which in its nature selects structural breaks. Third, normally they are conducting the unit root test to verify the stationary of time series data before analyzing. But since this unit root test may bring different results or low inconsistency according to test methods, they have found a problem of the near unit root, means an insufficient explanation with this unit root test. So, we have tried to overcome this problem by using the bounds test of Pesaran, Shin and Smith(2001). Fourth, when they separate periods by G&H cointegration tests accounting structural breaks, a problem of small sample can occur due to using monthly data. specially if the sample is small, there could be a limitation that can not use such a traditional cointegration tests of Johansen(1988). Thus in this study, we could solve the problem of small sample by using the bounds test. The results of this study by models are summarized as follows. In the simple relationship model, it is determined that the relationship between a foreign exchange rate and a stock price becomes stronger in a negative relationship as the financial market develops after the foreign exchange crisis. On the other hand, it is confirmed that the impact of a stock price on a foreign exchange rate is more clear than that of a foreign exchange rate on a stock price is. In the monetary model, the impact of a stock price on a foreign exchange rate became more stronger in a negative way after the foreign exchange crisis, and a short term impact became clearly more stronger in a negative way after the foreign exchange crisis while it didn't exist before the foreign exchange crisis. In the composite model, a long term impact on a stock price didn't seem to be significant statistically before the foreign exchange crisis, but in the period of after and including the foreign exchange crisis, a stock price did impact clearly on a foreign exchange rate in a negative relationship. A short term impact after the foreign exchange crisis became stronger in negative way than before the foreign exchange crisis. In the stock pricing model, as they allowing foreigner's stock investment, the impact of a foreign exchange rate on a stock price became stronger in a negative way. specially, in case of a long term impact, in the period where the limitation of foreigner's stock investment was completely abolished, the impact of a foreign exchange rate on a stock price became stronger in negative way, and the same negative impact was found in a short term impact. When we combine results of above models, in the simple relationship model, the monetary model, the composite model and the stock pricing model, we could clearly find that a stock price did impact on a foreign exchange rate in negative way since they have opened the capital market in the early of 1990s and the foreign exchange crisis of 1997. This is the result which is in consistent with those of previous studies by Sim & Chang(2008), Lee Kunyoung(2002), Hwang Sunwoong․Choi Jaehyuk(2006), Chung Sungchang․Chang Seokyoung(2002) and Soenen․Henningar(1988). In models of the simple relationship model, monetary model, the composite model and the stock pricing model accounting foreigner's stock investment, in general, a negative relationship of a stock price and a foreign exchange rate became weaker or disappeared. In spite of considering the variable of foreigner's stock investment, the reason why there still existing a negative relationship between a stock price and a foreign exchange rate seems to be the same time lag factor in a short term relationship. And a foreigner's stock investment seemed to impact on a foreign exchange rate in a negative way while on a stock price in a positive way. When comparing to previous studies, this study could derive a meaningful result even in monthly data while they did only in daily data. This result illustrates that a relationship with a financial market is more important rather than with a commodity market We could find that the capital market which is completely open after the foreign exchange crisis is exposed to the investment environment that has a deep relation with a foreign exchange market as the foreigner's stock investment increasing. Thus, the result of this study is believed to help investors understanding exactly the interaction of financial markets for establishing an effective strategy of financial assets.