Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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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
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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.

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