구조방정식모형에 의한 경제요인이 주가에 미치는 영향력 분석 = The Influence Analysis of Economic Factors on Stock Prices by Structural Equation Modeling

다국어 초록 (Multilingual Abstract)

This study examines not only the direct effect, but also the indirect and total effects of economic factors on stock prices by structural equation model(SEM). For this purpose, I empirically apply 5 independent variables of economic factors, and 5 mediator variables of firm factors during the period of February, 2010 to December, 2022. Empirical results are as follows: First, the direct effects of SEM show the same as results of multiple regression, but not the same as those of panel regression. Second, in the direct effects of SEM, price index and exchange rate have significantly positive effects on stock prices, but interest rate, business condition, and international commodity price index have insignificantly effects on stock prices. Third, in the indirect effects of SEM, interest rate and international commodity price index influence the same direction as the direct effects, but business condition, price index price, and exchange rate affect the different direction as the direct effects. Fourth, because the indirect effects
of economic factors are very small, total effects are almost the same as the direct effects. Fifth, in SEM, book-to-market equity ratio, leverage ratio, and profitability have expectedly and significantly positive effects on stock prices, but firm size and growth rate show unexpected effects on stock prices. This study implies that it should be considered to invest in stocks not only the significance and direction of influencing variables, but also
their direct effects and total effects. Therefore, investment by forecasting and analyzing the structural effects of influencing variables can produce better results than simply forecasting and analyzing only the direct effects of influencing variables.