PUKYONG

KOSPI 기업들의 환노출과 금리노출에 관한 연구

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Alternative Title
Study on the exchange rate and interest rate exposure of KOSPI firms
Abstract
Study on the exchange rate and interest rate exposure of KOSPI firms

Jung Il Park

Department of Economics, The Graduate School,
Pukyong National University

Abstract

Since the Korean financial crisis, foreign exchange rates and interest rates largely have fluctuated. This study started on the prediction that the changes in foreign exchange rates and interest rates give different effects to the value of each company. It is predicted that generally foreign exchange rates have positive relations with corporate value, and that interest rates have negative relations with corporate value. It is a theoretical background and a practically accepted fact. But, in reality, something opposite to general prediction frequently occur. That is judged to be attributable to financial system changes like movement of financial capital.
But, in event where a model is elaborated and the market effect is controled by KOSPI return rates, the microscopic information of the market is efficiently reflected when exchange exposure has a positive relation with export share, and interest exposure has a negative relation with debt ratio. On the basis of the decision, this work is intended to identify the exchange exposure and interest exposure of each company and analyze the effect factors of exchange exposure and interest exposure.
For an analysis, among companies listed on KOSPI, the companies that had continuity from 1990 to 2011 were chosen, and weekly data about stock prices, exchange rates and interest rates were used. And, as effect factors, export share, debt rate, corporate size, growth opportunity, liquidity, dependence on foreign debt, and foreign investors' shares were used. OLS, GARCH and EGARCH analysis methods were used to investigate exchange exposure and interest exposure. A total of five models were chosen in consideration of in delay effect and changes in data attributes. And, to investigate the differences according to volatility of foreign exchange rate and interest rate, this work divided a period into the period before the Korean financial crisis and the period after that. In the meantime, for an analysis of effect factors, 1-STEP based System SUR method as well as 2-STEP method was performed.
As a result, in the case of exchange exposure, its influence changed from a positive direction to a negative direction as time went by from the period before the Korean financial crisis to the period after the Korean financial crisis. It is judged that, even in the circumstance where financial system factors are controlled through KOSPI return rate, the influence exceeds the positive influence through object-system. In the case of interest exposure, its influence was negative both in the period before the Korean financial crisis and in the period after the crisis. It was found that each significant value of exchange exposure and interest exposure greatly increased after the Korean financial crisis. This means that, as volatility of exchange rates and interest rates increased, the influence of them grew in determining the stock price of each company.
The result of research by industry revealed that the expected positive and negative relations were frequently found according to export share and debt rate by industry. But, there were some other cases, and there were no results uniformly applicable to the entire market. In the analysis by industry, it was expected that because electric and electronic industry and iron and steel industry are highly dependent on export, they would be greatly influenced by foreign exchange rates after the Korean financial crisis, during which volatility of exchange rates has become strong, but not change was found in the electric and electronic industry, whereas the iron and steel industry showed a large increase in actual significance ratio. The reason is inferred that the electric and electronic industry has more become multi-nationalized than the iron and steel industry so that it has relatively better perform exchange risk hedge.
The results of an 2-STEP method based analysis on effect factors showed that the main effect factors on exchange exposure were growth opportunity, liquidity and foreign investors' shares, and that the main effect factor on interest exposure was corporate size. In the case of the influence of export share of exchange exposure and of debt ratio of interest exposure, there were no significant results in the period before the Korea financial crisis, but most models showed significant results in the period after the Korean financial crisis. This means that the market reflects microscopic information more efficiently in the period after the crisis than in the period before the crisis.
The results of an System SUR method based analysis showed that most results were similar to the results of 2-STEP method. The difference was that, in the case of 2-STEP method, foreign investors' shares became negative influence in the period before the crisis, but, in the case of System SUR, no significant results were found. In addition, in the case of System SUR, it was found that export share had a significantly positive relation with exchange exposure in the periods both before and after the crisis. But, it was found that a coefficient in the period after the crisis became relatively larger, and that significance level become higher. This means that the market after the financial crisis reflects the information on the market more efficiently.
This work conducted a comparison analysis on the changes in exchange exposure and interest exposure for each company's stock price, and effect factors of relevant exchange exposure and interest exposure that appeared before and after the Korean financial crisis, and then investigated characteristics by period. But, the limitation of this work is that it didn't reflect each company's hedge behavior for exchange risk and interest risk in the process of analysing exchange exposure and interest exposure.

Keyword : exchange exposure, interest exposure, OLS, GARCH, EGARCH
System SUR, Korean financial crisis.
Author(s)
박정일
Issued Date
2013
Awarded Date
2013. 2
Type
Dissertation
Publisher
부경대학교
URI
https://repository.pknu.ac.kr:8443/handle/2021.oak/24668
http://pknu.dcollection.net/jsp/common/DcLoOrgPer.jsp?sItemId=000001966046
Alternative Author(s)
Park, Jung Il
Affiliation
부경대학교 대학원
Department
대학원 경제학과
Advisor
장병기
Table Of Contents
제1장 서론
제1절 연구의 배경 및 목적
제2절 논문의 내용 및 구성

제2장 선행연구 및 이론적 배경
제1절 선행연구
1. 환노출에 대한 연구
2. 구조변화를 고려한 환노출 연구
3. 지연된 영향을 고려한 환노출 연구
4. 구조변화와 지연된 영향을 함께 고려한 환노출 연구
5. 환노출과 함께 금리노출을 고려한 연구
제2절 이론적 배경
1. CAPM(Capital Asset Pricing Model : 자본자산결정모형)
2. ICAPM(Intertemporal Capital Asset Pricing Model)
3. APT(Arbitrage Pricing Theory : 차익거래가격결정이론)
4. System SUR(System seemingly unrelated regression)
5. 주가와 환율 및 금리의 상호 연관성

제3장 분석 자료 및 분석 방법
제1절 표본 선정
제2절 분석 방법
1. OLS Newey-west : 모형1
2. GARCH-GED : 모형2
3. 순수 영향력 변수 사용 GARCH-GED : 모형3
4. 순수 영향력 변수 사용 EGARCH-M-GED : 모형4
5. 지연시차를 고려한 순수 영향력 변수 사용 EGARCH-M-GED : 모형5

제4장 실증분석 결과
제1절 개별기업 주가의 환노출 및 금리노출
1. 모형1의 분석 결과
2. 모형2의 분석 결과
3. 모형3의 분석 결과
4. 모형4의 분석 결과
5. 모형5의 분석 결과
6. 소결
제2절 환노출 및 금리노출의 업종별 특성 분석
1. 모형1에 대한 업종별 분석 결과
2. 모형2에 대한 업종별 분석 결과
3. 모형3에 대한 업종별 분석 결과
4. 모형4에 대한 업종별 분석 결과
5. 모형5에 대한 업종별 분석 결과
6. 소결
제3절 환노출 및 금리노출의 영향요인 분석
1. 영향요인 변수에 대한 가설 설정
2. 환노출 및 금리노출에 대한 영향요인 분석 결과
제4절 환노출 및 금리노출의 영향요인 분석(System SUR)

제5장 결론

참고문헌
부 록
Degree
Doctor
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경영대학원 > 경제학과
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