국제화 정도에 따른 주식수익률과 환율간의 관계

Title
국제화 정도에 따른 주식수익률과 환율간의 관계
Other Titles
A Study on the Relation between Stock Return and Exchange Rates : Internationalization and Market Difference
Author(s)
임병진장승욱
Keywords
exchange rate; stock index; stock index returns; correlation
Issue Date
201309
Publisher
한국무역연구원
Citation
무역연구, v.9, no.4, pp.189 - 209
Abstract
The objective of this study is examine the causal relationship between exchanges rates and stock return using won/dollar(us) exchange rate and stock index returns by size and markets. This study uses daily data from 2003/03/03 to 2013/02/28 in Korea and conducts the unit root test, correlation analysis and Granger causality test. Major results are summarized as follows. Firstly, unit roots tests are found in exchanges rates and stock return. And correlation analysis indicate that negative correlation between exchanges rates and stock return. And we find that the effect from exchange rates and stock index return is relatively strong after the international financial crisis. The verified results of Granger causality between the exchange and the Securities market index returns, we can see that a causal relationship exists between influential stock index returns and exchange rates. The results of this study consistent with Vygodina(2006) claims that causal relationship between stock returns and exchange rates differently show depend on the size of the firm.
URI
http://hdl.handle.net/YU.REPOSITORY/28924
ISSN
1738-8112
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경영대학 > 경영학과 > Articles
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