환율과 주가간의 연관관계: 한국 2000:1월~2010:4월 = The Relationship between Stock Prices and Exchange Rates in Korea

다국어 초록 (Multilingual Abstract)

The purpose of this paper is to examine the causal relationship between stock prices and won/(us)dollar exchange rate, using data from January 2000 to april 2010 in Korea. The results of the test suggest that (1) Unit tests show that exchange rate and KOSPI and 22 industry stock index except telecommunications are the unstable time series which need 1st defference to stabilize. (2) Cointegration tests indicate that won/(us)dollar exchange rate and KOSPI and 21 industry stock index have no long-run relationship between each other (3) Standard Granger causality test and Toda-Yamamoto causality test indicate that exchange rate and KOSPI have bi-directional causality both in the short run and long run, exchange rate and 21 industry stock index all have bi-directional causality or uni-directional causality except telecommunications. (4) The VAR analysis shows that relationship between the two variables, negative causal relationship is dominant. (5) GMM estimates show that 1% change of exchange rate immediately leads 3.868% change of KOSPI. On the other hand, 1% change of KOSPI directly bring about 0.223% change of exchange rate. These results show that since complete liberalization of capital transaction have fully expanded in Korea, the relationship between stock prices and exchange rates has been affected by foreign capital flows. And this finding corroborates the results of Kim(2003), Doong et al. (2005) conclusion which indicates the bi-causality between stock prices and exchange rate.

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