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      • KCI등재

        주식형 펀드 설정액과 주식시장의 상호 미치는 영향에 관한 연구

        임병진 한국상업교육학회 2019 商業敎育硏究 Vol.33 No.5

        이 연구는 주식형 펀드 설정액과 주식시장이 상호 미치는 영향을 실증적으로 분석한 연구이다. 이를 위하여 본 연구에서 우리나라 주식시장의 대표지수인 종합주가지수와 주식형 펀드 설정액 주 간 시계열 자료의 변화 관계를 분석하기 위해 이용된 자료는 2015년 1월 10일 부터 2019년 8월 17 일 까지 241개의 자료이다. 주식형 펀드 설정액과 주식시장이 미치는 영향을 분석하는 방법론은 단 위근 검정, 공적분(cointegration)검정, 분산분해기법 및 Granger인과관계(Granger causality)검정이 다. 주식형 펀드 설정액과 주식시장이 상호 미치는 중요한 영향들이다. 주식형 펀드 설정액과 종합주가지수간의 상관관계는 –0.197797로 음(-)의 관계로 나타났고, 주식 형 펀드 설정액과 종합주가지수 자료의 레벨변수의 안정성검정 결과 종합주가지수는 불안정적인 것 으로 나타났으나 제1차 차분변수에 안정성검정 결과는 모두 안정적인 것으로 분석되었다. 주식형 펀드 설정액과 종합주가지수 자료 간에는 공적분관계가 존재하는 것으로 나타났고, 종합주가지수의 변화는 종합주가지수자체의 내재적 변화가 98%이상을 설명하고 주식형 펀드 설정액은 2% 미만으 로 설명하고 있는 것으로 나타났고 주식형 펀드 설정액의 변화는 주식형 펀드 설정액자체의 내재적 변화가 70%이상을 설명하고 한국종합주가지수는 29% 미만으로 설명하고 있는 것으로 나타났으며, 한국종합주가지수와 주식형 펀드 설정액 시계열간의 Granger 인과관계는 1% 유의수준에서 시차가 1과 4에서 모두 한국종합주가지수의 변화는 주식형 펀드 설정액의 변화율에 그레인저 인과관계가 있는 것으로 나타나 주식시장이 변화한 후에 주식형 펀드가 설정되는 것으로 나타나 펀드투자자를 위하여 주식시장이 변화 전에 미리 주식형 펀드가 설정되는 것이 필요하다. This study is an empirical study on the mutual influence of the stock fund provisions and stock market in South Korea. In this study we used data of since January 10, 2015, the stock fund provisions and stock price index in South Korea by August 31, 2019. There are two indicators of the stock fund provisions and stock price index in South Korea. We try to analyze the mutual influence and the causality between the stock fund provisions and stock price index in South Korea. We wish to analyze the extent of cross-influence. We employ impulse response function based on VAR model as well as variance decomposition after unit root tests, cointegration test and Granger causality test. An important result of this study are summarized as follows: First of all, raw time series data of tthe stock fund provisions and stock price index in South Korea has unit roots. Secondly, first differential data of the stock fund provisions and stock price index in South Korea has no unit roots. Third, there is at least one cointegration between the stock fund provisions and stock price index in South Korea. Fourth, the correlation between of the stock fund provisions and stock price index in South Korea is .0.197797. Finally, stock price index Granger Cause the stock fund provisions.

      • KCI등재

        독일과 한국 대중소기업의 상호 영향력 비교에 관한 실증적 연구

        임병진 한국무역연구원 2019 貿易 硏究 Vol.15 No.5

        Purpose - This study Compared the effects of exports on the growth of stock indices of large-scale, medium-scale and small-scale companies in South Korea and Germany. Design/methodology/approach - The interdependence of exports on the growth of stock index growth relative to large-scale, medium-scale or small-scale businesses in South Korea and Germany was examined using 1176 data observations from May 20, 2010 to December 30, 2014. Impulse response function based on a VAR model as well as variance decomposition were employed after unit root, cointegration and Granger causality tests were conducted. Findings - This research showed several results. First, stock indices of large-scale, medium-scale and small-scale companies in South Korea and Germanies have unit roots. Second, first differential stock indices of large-scale, medium-scale and small-scale companies in South Korea and Germanies have no unit roots. Third, there is no cointegration among them. Fourth, the correlation large-sized and small-sized businesses in Germany is 0.983564.. But the correlation large-sized and small-sized businesses in South Korea is 0.358174. Research implications or Originality –We find that exports have a positive effect on the growth of Korean mid-sized and small businesses, similar to the same observation made with respect to mid-sized and small business stock indices in Germany.

      • KCI등재

        An Empirical Study on the Hedging and Relationship between CSI300 Stock Index Futures and CSI300 ETF

        임병진,Xiang Yang 한국로고스경영학회 2019 로고스경영연구 Vol.17 No.3

        Hedge trading between stock index futures and spot market trading can improve unreasonable pricing and reduce short-term volatility, thus making the market more stable and providing enough liquidity for effective trading. At the same time, investors can obtain more stable low-risk returns. For these reasons, cash limit hedging has become the focus of investors' attention, and research on cash hedging has practical significance. On April 5, 2012, China launched the CSI 300 Exchange Traded Funds (ETF), a transactional open-ended index fund that trades in the secondary market with the CSI 300 Stock Index. This provides us with favorable conditions and sufficient data for theoretical analysis and empirical research on hedging of current CSI 300 Stock Index futures. In an analysis based on current hedge theory, this paper analyzes the current status of China’s CSI 300 Stock Index futures in relation to the ETF, identifying hedging opportunities.

      • KCI등재

        무역보험과 퇴직연금보험이 주식시장에 미치는 영향에 관한 실증적 연구

        임병진 한국무역보험학회 2019 무역보험연구 Vol.20 No.3

        This paper studies the mutual influence of the trade insurance and the retirement pension insurance asset on the stock market in South Korea. In this analysis we used data of since December 31, 2005, the retirement pension insurance asset and stock price index in South Korea by July 31, 2019 and data of since 1992, the trade insurance in South Korea by 2018. There are three indicators of the trade insurance, the retirement pension insurance asset and stock price index in South Korea. We try to research the mutual influence and the causality among the trade insurance, the retirement pension insurance asset and stock price index in South Korea. The important result of this paper are summarized as follows: First of all, raw data of the trade insurance, the retirement pension insurance asset and stock price index in South Korea has unit roots. Secondly, first differential data of the trade insurance, the retirement pension insurance asset and stock price index in South Korea has no unit roots. Third, there is at least one cointegration between the trade insurance, the retirement pension insurance asset and stock price index in South Korea. Fourth, the correlation between of the retirement pension insurance asset and stock price index in South Korea is (+) 0.789843, and the correlation between of the trade insurance and stock price index in South Korea is (+) 0.878069, Finally, the retirement pension insurance asset does not Granger Cause stock price index and the retirement pension insurance asset does not Granger Cause stock price index, But trade insurance Granger Cause stock price index in South Korea. 본 연구는 무역보험 및 퇴직연금보험이 주식시장에 상호 미친 영향을 실증적으로 분석한 연구이다. 이 연구에서 무역보험과 주식시장의 대표지수인 종합주가지수와 퇴직연금보험 월간 자료의 시계열의 분석으로 이용한 자료로는 퇴직연금보험이 도입된 이후부터 2019년 7월 31일 까지 164개의 월간 자료와 무역보험은 1992년부터 2018년까지 27개의 연간자료이다. 연구방법론으로 시계열의 안정적인가의 알아보기 위하여 단위근 검정과 두 변수간 장기적인 안정적인 관계가 있는가 알아보기 위하여 공적분(cointegration)검정을 하였고 두 변수간 미치는 상호영향력 울 분석하기 위해 VAR모형의 예측오차 분산분해기법 및 Granger인과관계(Granger causality) 검정을 사용하였다. 이 연구의 결과들을 살펴보면 다음과 같다. 한국종합주가지수와 무역보험의 상관관계는 0.878069이고 퇴직연금보험과 한국종합주가지수간의 상관관계는 0.789843로 양(+)의 관계로 나타났고, 한국종합주가지수 분산분해에서 무역보험의 영향력이 있고 퇴직연금보험은 예상한대로 빠르게 늘어나지 않아 주식시장에 미치는 영향은 미미 한 것으로 나타났고, 한국종합주가지수와 퇴직연금보험 시계열간의 Granger 인과관계는 5% 유의수준에서 시차가 1인 경우와 6인 경우 모두 Granger 인과관계가 없는 것으로 나타났으나 무역보험은 한국종합주가지수에 Granger Cause하는 것으로 나타났다.

      • KCI등재

        한국 유통산업이 한국 경제에 미치는 상호영향력에 관한 실증적 연구

        임병진 한국유통과학회 2019 The Journal of Industrial Distribution & Business( Vol.10 No.9

        Purpose - The objective of this paper is to discover if there exists a relationship between the economic index and distribution industry index in Korean. Because of the distribution industry boom in the recent years, a lot of interest in the relationship between the economic index and distribution industry index in Korean and the economy has been generated. This article examine on the mutual influence between economic index and distribution industry index in Korean. Research design, data, and methodology - For this purpose, we use the vector-auto regression model, impulse response function and variance decomposition of the economic index and distribution industry index, Granger causality test using weekly data on the economic index and distribution industry price index in korea. The sample period is covering from January 2, 2010 to August 31, 2019. The VAR model can also be linked to cointegration analysis. Cointegration Analysis makes possible to find a mechanism causing x and y to move around a long-run equilibrium (Engle and Granger, 1987). This equilibrium means that external shocks may separate the series temporarily at any particular time, but there will be an overall tendency towards some type of long-run equilibrium. If variables are found to have this tendency they are said to be cointegrated and a long-run relationship between these series is established. These econometric tools have been applied widely into economics and business areas to analyze intertemporal linkages between different time series. Results - This research showed following main results. First, from the basic statistic analysis of the economic index and distribution industry index in Korean, the economic index and the distribution industry index in korea have unit roots. Second, there is at least one cointegration between the economic index and distribution industry index in Korean. Finally, the correlation between of the economic index and the distribution industry index in korea is (+) 0.528876. Conclusions - We find that the distribution industry price index Granger cause the economic index in korea. As a consequence, the distribution industry index affect the economic index in Korean. The distribution industry index to the economic index is stronger than that from the economic index to the distribution industry index.

      • KCI등재

        A Study on the the Lead-Lag Relationship between the CSI 300 Futures Market and Spot Market

        임병진,YiLing Liu 한국무역연구원 2019 貿易 硏究 Vol.15 No.4

        Purpose - The purpose of this study was to examine the lead-lag relationship empirically between CSI 300 stock index futures and spot stocks based on five-minute high-frequency data. Design/methodology/approach - This study collected 23,495 five-minute data of the closing price of CSI 300 index and the closing price of CSI 300 stock index futures were taken as the research object, and the sample interval was selected from May 15, 2017 to May 15, 2019. The unit root test, cointegration test, vector error correction model, granger causality test and the impulse response and variance decomposition were hired In order to analyze the data. Findings - This paper attempts to study the lead-lag relationship between CSI-300 stock index futures and spot by empirical method. First, there is a long-term equilibrium relationship between the cointegration relation of the CSI300 index futures and the spot marke. Second, there is a significant causal relationship between stock index futures and spot, which lays the foundation for the lead-lag relationship between stock index futures and spot. Third, using VEC model to explore the lead-lag relationship between CSI 300 stock index futures and stock spot, stock index futures and spot guide each other, but the effect of stock index futures leading spot is very significant. Lastly, the interaction between the two markets is explored through the impulse response function model. The futures market is better at absorbing shocks than the spot market and the impact of the futures market on the spot market is not obvious. Research implications or Originality – In the CSI 300 index and the CSI 300 index futures market we found that the futures market has stronger shock absorption capacity than the spot market, and the futures market has no obvious response to the spot market agricultural machinery.

      • KCI등재

        An Empirical Study on the Mutual Effects of IDX and KOSPI

        임병진,이서영 한국로고스경영학회 2017 로고스경영연구 Vol.15 No.3

        This empirical study analyzes the relationship between Indonesia’s IDX and South Korea’s KOSPI. A bivariate vector autoregressive model is estimated using 470 weekly data of Indonesia’s IDX and South Korea’s KOSPI from January 5, 2008 to January 6, 2017. The estimated impulse response functions show that a One-period time increase in Korea’s KOSPI leads to increase in Indonesia’s IDX with a six- week lag. However, the impact of South Korea’s KOSPI on Indonesia’s IDX is more immediate and relatively large. There is evidence that South Korea’s KOSPI Granger cause Indonesia’s IDX and Indonesia’s IDX Granger cause South Korea’s KOSPI.

      • KCI등재

        중국의 평균관세율 10%이하로 변화가 한국의 수출입에 상호 미친 영향에 관한 연구

        임병진 한국무역연구원 2020 貿易 硏究 Vol.16 No.4

        Purpose This study analyzes the mutual influence between the Korean import and export volume admist China’s imposition of tariff increases of about 10%. Design/Methodology/Approach This study tests the interrelationship between the Korean import and export volume from November 3, 1992 to March 31, 2019 using 318 monthly data observations. We employ variance decomposition based on the impulse response function as well as the VAR model to check how much proportion of variation in import volume is due to its own shock against export volume shock after unit root and cointegration tests are performed. Findings This research showed important results. First, there is a correlation between the export and import volume in Korea by changing under 10% China tariff change from + 0.870471 to + 0.987859. Second, Both import and export volume in Korea are not stationary at level variables. However, their first differences are relatively stationary than their levels. Third, import and export volume in Korea have a stable long-run relationship. Research Implications We find that there is a lagged impact between the export and import volume in Korea. The most important finding is that import volume Granger causes export volume in Korea. This means that previous import volume causes the amount of current export volume in Korea.

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