DOI QR코드

DOI QR Code

An Empirical Investigation on the Interactions of Foreign Investments, Stock Returns and Foreign Exchange Rates

  • Kim, Yoon-Tae (Department of Statistics, Hallym University) ;
  • Lee, Kyu-Seok (Department of Statistics, Seoul National University) ;
  • Shin, Dong-Ho (Department of Business Administration, Seoul Nationl University)
  • Published : 2002.04.01

Abstract

Foreign investors'shares and their influences on the Korean stock market have never been larger and greater before since the market was completely open to foreign investors in 1992 Quantitatively and qualitatively as well, as a result, changes in the patterns of foreign investments have caused enormous effects on the interactions of major macroeconomic indices of the Korean economy. This paper is intended to investigate the causal relations of the four variables, foreigners'buy-sell ratios, stock returns, ₩/$ exchange rates and $\yen$/$ exchange rates, over the two time periods of the pre-IMF (1996.1.1-1997.8.15) and the post-IMF (1997.8.16-2000.6.15) based on the daily data of the variables. Granger Causality Test, Forecast Error Variance Decomposition(FEVD) using VAR model and Impulse Response Function were implemented for the empirical analysis.

Keywords

References

  1. 금융시계열분석 김명직;장국현
  2. 금융학회지 v.3 no.2 주식시장 개방이 주식수익률 변동성과 뉴스충격반응곡선에 미치는 영향 이근영
  3. 외국인 주식투자와 주가의 인과관계에 관한 실증연구 장하성;최흥용
  4. 조사통계월보 한국은행
  5. Journal of American Statistical Association v.74 Distribution of the Estimators for Autoregressive Time-Series with a Unit Root Dickey, D.A.;Fuller, W.A. https://doi.org/10.2307/2286348
  6. RATS User's Manual version 4 Doan, T.A.
  7. Econometrica v.37 no.3 Investigating Causal Relations by Econometric Models and Cross-Spectral Methods Granger, C.W.J. https://doi.org/10.2307/1912791
  8. American Economic Reviews v.62 Money, Income, and Causality Sims, C.A.