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논문 기본 정보
- 자료유형
- 학위논문
- 저자정보
- 지도교수
- 이기환
- 발행연도
- 2014
- 저작권
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This study aims to analyze empirically the short and long-run relationship between stock price of Korean shipping firms and macroeconomic variables that affect the shipping industry. The used samples consist of the monthly data of Korea transportation index of KRX, Baltic Dry index, Korea/US Exchange rate, Treasury bill(90d), Treasury note(5y), US industrial production index, and US Western Texas Oil price over the period from January 2004 to December 2013. The empirical analysis was carried out according to 2 time periods, i.e. periods before and after global financial crisis of september 2008.
The empirical results may be summarized as follows.
At first, the unit root test shows that all variables are unstable, which could bring a misleading result when the conventional OLS method to identify the relationship with raw data is used. In this case, it is needed to test whether the co-integration exists in raw data or not by using Johansen''s method. The test shows that the long-run interaction between variables exists with one co-integration function. Then, a short-run relationship is estimated in the form of VECM(vector error correction model). The of regression analysis with variables from VECM is 15% for whole sample period, 16% for the period before global financial crisis and 2% for after. The lowest value for the period after global financial crisis seems to imply that most countries implemented relevant economic policies to intervene actively in the risks occurred during the global crisis.
The paper concludes with the remark that these results might be useful for shipping firms and investors to make proper decisions under the environment of changing macroeconomic variables.
The empirical results may be summarized as follows.
At first, the unit root test shows that all variables are unstable, which could bring a misleading result when the conventional OLS method to identify the relationship with raw data is used. In this case, it is needed to test whether the co-integration exists in raw data or not by using Johansen''s method. The test shows that the long-run interaction between variables exists with one co-integration function. Then, a short-run relationship is estimated in the form of VECM(vector error correction model). The of regression analysis with variables from VECM is 15% for whole sample period, 16% for the period before global financial crisis and 2% for after. The lowest value for the period after global financial crisis seems to imply that most countries implemented relevant economic policies to intervene actively in the risks occurred during the global crisis.
The paper concludes with the remark that these results might be useful for shipping firms and investors to make proper decisions under the environment of changing macroeconomic variables.
목차
제 1장 서 론제 2장 선행연구2.1 주가지수와 거시경제변수와의 관계에 대한 외국연구2.2 주가지수와 거시경제변수와의 관계에 대한 국내연구제 3장 방법론3.1 가격결정이론3.2 단위근 검정3.3 Johansen 공적분 검정3.4 벡터자기회귀모형(VAR) 및 벡터오차수정모형(VECM)3.4.1 벡터자기회귀모형(VAR)3.4.2 벡터오차수정모형(VECM)3.5 충격반응함수 및 예측오차분산분해3.5.1 충격반응함수3.5.2 예측오차분산분해제 4장 실증분석4.1 데이터4.1.1 변수설정4.1.2 데이터선정 및 분석기간4.1.3 기초통계량4.2 실증분석결과4.2.1 단위근 검정4.2.2 공적분 검정4.2.3 벡터오차수정모형(VECM)4.2.4 충격반응함수4.2.5 예측오차분산분해제 5장 결론
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