韓國 證券市場에서의 株價指數와 金利 및 換率間의 相關關係에 관한 硏究 = STUDY ON THE CORRELATION OF THE STOCK INDEX IN THE KOREAN STOCK MARKET WITH THE INTEREST AND FOREIGN EXCHANGE RATES

다국어 초록 (Multilingual Abstract)

The analytical result of this study is as can be analyzed from the result of a rarity analysis where in forecasting a stock index, a significant level of the interest rate(X1, X2) affecting on the stock index(Y) shows a positive(+) correlation, but an effect of the foreign exchange rate(X3) on the stock index(Y) does ret appear as a significant level that the foreign exchange rate has little influence.
Specifically, a significant level of the call money rate(X2) among various interest rates appeared bigger than that of the yield rate of a 3 years' maturity corporate bond. Accordingly, among macro economic parameters, an effect of the call money rate between financial institutes on the stock index rate appeared relatively bigger (X2>X1) than that of a 3 years' maturity corporate bond yield rate or of the foreign exchange rate.

목차 (Table of Contents)

• Ⅰ. 序論
• Ⅰ.1 硏究의 必要性
• Ⅰ.2 硏究의 範圍와 構成
• Ⅱ. 證券市場과 巨視經濟變數
• Ⅱ.1 Chen. Roll &oss의 배당평가모형
• Ⅱ.2 증권시장과 거시경제변수
• Ⅱ.2.1 자본시장변수
• Ⅲ. 株價指數 豫測可能性에 대한 旣存 硏究
• Ⅲ.1 단기적 예측가능성에 관한 연구
• Ⅲ.2 장기적 예측가능성에 관한 연구
• Ⅲ.3 거시적 예측변수를 활용한 연구
• Ⅲ.4 미선형 모형에 의한 연구
• Ⅳ. 株價指數와 金利 및 換率間의 相關關係 分析
• Ⅳ.1 The SAS System Correlation Analysis : 4 ‘VAR’ Variables
• Ⅳ.2 The SAS System Correlation Analysis : 일반적 상관계수
• Ⅳ.3 The SAS System Correlation Analysis : 偏상관계수(Y, X1, K2)
• Ⅳ.4 The SAS System Correlation Analysis : 偏상관계수(Y, X1, X3)
• Ⅳ.5 The SAS System Correlation Analysis : 偏상관계수(Y, X2, X3)
• Ⅳ.6 The SAS System Correlation Analysis : 회귀분식(변수선택 포함)
• Ⅳ.7 The SAS System Parameter Estimates
• Ⅳ.8 The SAS System : 변수선택［1］
• Ⅳ.9 The SAS System : 변수선택［2］
• Ⅳ.10 The SAS System : Step 1 Variable X3 Removed
• Ⅳ.11 The SAS System - Variable Number Partial Model
• Ⅳ.12 The SAS System : Step 1 Variable X2 Entered
• Ⅳ.13 The SAS System : Step 2 Variable X1 Entered
• Ⅳ.14 The SAS System : Variable Number Partial Model
• Ⅳ.15 The SAS System : Step 1 Variable X2 Entered
• Ⅳ.16 The SAS System : Stop 2 Variable XI Entered
• Ⅳ.17 The SAS System : Step 3 Variable X3 Entered
• Ⅴ. 要約 및 結論