환율과 주가간의 연관관계 :한국 2000:1월~2010:4월
The Relationship between Stock Prices and Exchange Rates in Korea
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본고는 자본시장이 완전히 개방된 2000:1월~2010:4월간의 한국의 종합주가지수(KOSPI) 및 22개 업종별 주가지수와 원/US달러간의 연관관계를 분석한 것이다. 환율과 종합주가 및 업종별 주가간에는 장기균형관계가 존재하지 않았다. 양자 간에는 단기와 장기에 양방향인과관계가 있었다. 환율은 통신업을 제외한 전업종의 주가에 대해 인과관계가 있었다. 주가에서 환율로의 인과의 부호는 모두 부(-)이며, 환율에서 업종별 주가로의 인과부호는 부(-)가 지배적이지만, 정(+)도 섞여 있었다. GMM의 동시영향 분석에서는 원/달러 환율 1%의 상승(하락)은 직접적으로 종합주가지수 3.828% 하락(상승)을 유발하며, 종합주가지수 1%의 상승(하락)은 바로 환율 0.223%의 하락(상승)을 유발하는 것으로 나타났다. 또 환율하락과 주가상승기에는 환율과 주가는 각각 상대에 대한 영향력이 커지며, 반대로 환율상승과 주가하락기에는 그 영향력이 상대적으로 감소되었던 것으로 나타났다. .
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. But this finding contradicts the findings of other studies which reported a long term relationship or plus causal relationship dominant between exchange rates and stock prices.
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