株式에 대한 投資成果와 인플레이션에 관한 實證的 硏究 = Stock Returns and Inflation

다국어 초록 (Multilingual Abstract)

The main purpose of this papose is to find out the relationship between stock returns and inflation. That is (1) to find out if stock returns hedges inflation in Korean Stock Market, (2) to see if stock returns are affected by time lead and time lag, (3) to seek how inflation hedges is affected by industry in Korean Stock Market, (4) to compare the U.S. Stock Market with Korean Stock Market in respect in respect of stock returns and inflation. This study concludes as follows:
1. A conclusion about inflation hedges in KSM can not be confirmed due to the low Ｒ²(0.0088) found in relationship between stock returns and inflation. Many other factors are involved besides the inflation factor.
2. In relationship between stock price and inflation, time lead allows better prediction than time lag. Especially Ｒ²was 14% with three or four month's time lead.
3. Industry surveys are as follows:
Ｒ??＝ａ＋ｂＩ?＋ｅ?
Industries ａ ｂ ｔ Ｒ² Ｄ.Ｗ
Food 1.6515 0.3106 1.7930 0.445 1.6687x
paper 0.9809 -0.4127 -1.1064 0.1064 0.0174
Pramarcy 1.3836 -0.4630 -0.7763 0.0087 1.9671x
Cement 0.3480 0.9250 1.2934 0.0237 1.2109
Steel 0.6617 0.6135 1.25042 0.0222 1.7679x
Eletronics 3.6184 0.3308 0.3577 0.0028 1.7156x
Construction -0.5360 2.5299 2.0734* 0.072 1.2897
Trade -1.8712 2.3261 2.7925** 0.1477 1.7904x
Ｒ??; Rate of return on Industry Market portfolio in month ｔ
Ｉ ; Rate of inflation in month ｔ
** ; Significant at 1% level
*,x ; Significant at 5% level

목차 (Table of Contents)

• Ⅰ. 序 論
• 1. 問題의 提起와 硏究의 目的
• 2. 硏究의 構成과 範圍
• Ⅱ. 株價와 인플레이션에 관한 理論的 硏究
• 1. 관련理論의 발달
• 2. 인플레이션 헷지의 槪念
• 3. 최근의 理論
• Ⅲ. 株價와 인플레이션에 관한 實證的 硏究
• 1. 假說의 設定
• 2. 硏究對象
• 3. 모델의 設定 및 分析
• Ⅳ. 結 論