디지털융복합연구 (Journal of Digital Convergence)

  • 제12권5호
  • /
  • Pages.89-99
  • /
  • 2014
  • /
  • 2713-6434(pISSN)
  • /
  • 2713-6442(eISSN)
한국디지털정책학회 (The Society of Digital Policy and Management)
권호 표지
DOI QR코드

DOI QR Code

종합주가지수·서울지역아파트가격·전국주택매매가격지수·경기선행지수의 상관관계와 선행성 분석

Analysis of KOSPI·Apartment Prices in Seoul·HPPCI·CLI's Correlation and Precedence

  • 투고 : 2014.02.25
  • 심사 : 2014.05.20
  • 발행 : 2014.05.28
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

주식시장에서 종합주가지수를 부동산시장에서 서울지역아파트가격과 전국주택매매가격지수를 선정하여 경기선행지수와 함께 각 지표들 사이의 상관관계를 찾아보았다. 또한 각 지표들 사이의 흐름을 서로 비교하여 선행성이 성립되는지도 살펴보았다. 본 연구의 목적은 종합주가지수와 서울지역아파트가격, 전국주택매매가격, 경기선행지수의 상관관계와 선행성을 분석해 보는 것이다. 주식시장의 종합주가지수나 부동산시장을 예측하기 위해서는 이에 선행하는 지표를 찾아 그 추이를 먼저 분석해 보는 것이다. 지난 1987년 1월부터 2013년 12월까지 총 27년 동안 KOSPI의 상승률은 687%로 나타났으며 CLI은 443%, 서울아파트는 391%, HPPCI는 263% 순으로 높은 상승률을 보여주었다. 서울아파트와 CLI, KOSPI, HPPCI의 상관분석을 실시한 결과 KOSPI는 상관계수 0.877인 HPPCI와 서울아파트는 상관계수 0.956인 CLI와 높은 상관관계를 보여주었다. 분석결과 CLI는 주식시장 및 부동산시장과 높은 상관관계를 보여주고 있어 주식시장 및 부동산시장을 예측하기 위해서는 CLI의 흐름을 먼저 살펴보는 지혜가 필요해 보인다.

Correlation of KOSPI from stock market and Apartment Prices in Seoul HPPCI from real estate market has been found from this research. Furthermore, from the comparison of those indicators' flows, certain precedence was found as well. The purpose of this research is to analyze correlation and precedence among KOSPI, Apartment price in Seoul, HPPCI and CLI. As for predicting KOSPI of stock market and real estate market, it is necessary to find out preceding indices and analyzing their progresses first. For 27 years from the January 1987 to December 2013, KOSPI has been grown by 687%, while CLI showed 443%, Apartment of Seoul showed 391%, HPPCI showed 263% of growth rate in order. As the result of correlation analysis among Apartment of Seoul, CLI, KOSPI and HPPCI, KOSPI and HPPCI showed high correlation coefficient of 0.877, and Apartment of Seoul and CLI showed that of 0.956 which is even higher. Result from the analysis, CLI shows high correlation with stock and real estate market, it is a good option to watch how CLI flows to predict stock and real estate market.

키워드

참고문헌

  1. B. J, Yim․S. Y, Han, "The Empirical Study of the Relationship and compares with the Time Series Properties of The Stock Market and Real Estate Market Index," Journal of Industrial Economics and Business, Vol 22, No 4, Korea Industrial Economic Association, 2009, pp.2055-2081.
  2. C. H. Chung⋅D. H. Kim, "The Economic Fundamentals and Time-Varyng Comovements of Asian Stock Markets to US Market," Financial Engineering, Vol 8, No 1, KAFE, 2009, pp.75-108.
  3. G. C, Um, "A Study on the Effect of Macroeconomic Factors to Housing Price Index : Comparison with KOSPI & Construction Stock Index," Journal of the graduate school, Vol 33, Kyeong-gi Graduate School, 2004, pp.123-135.
  4. H. J, Chi, "Circulative Relation of Stock, Bond, Real Estate Markets to Business Cycle," Korean Management Review, Vol 27, No 5, The Korean Academic Society of Business Admini., 1999, pp.1277-1296.
  5. H. J, Chi, "Relationship of KOSPI with Housing and Housing Lease Prices," Housing Financial, Vol 34, No 2, Korea Housing Bank, 2001, pp.1-26.
  6. J. H. Cho, Reality Principles, Publishing of KunKook Univ., p.7, 2002.
  7. J. H. Hong⋅K. H. Moon, "A Study on the Interdependence among Real Estate, Stock, Bond and FX Markets in Korea," Financial Engineering, Vol 8, No 2, KAFE, 2009, pp.97-125.
  8. K. S, Song⋅M. O, Jeong⋅S. Y, Lee, "A Study on the Relationship between Housing Purchase Price Composite Index and Korea Stock Price Index & Industry Group Indices on the Stock Market," School Paper, Vol 48, Korea Real Estate Academy, 2012, pp.77-93.
  9. M. K. Song⋅J. A. Yoon, "Relationship of Stock Market, Bond Market and Real estate Market," Capital Market Forum, Vol 3, No 1, KSRI, pp.152-162, 2006.