• Asian Journal of Business Environment
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• 제11권4호
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• pp.17-29
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• 2021

Purpose: The aim of this study is to explore the dynamic linkage between conditional stock market volatility and macroeconomic uncertainty of Bangladesh. Research design, data, and methodology: This study uses monthly data covering the time period from January 2005 to December 2018. A comprehensive set of macroeconomic variables, namely industrial production index (IP), consumer price index (CPI), broad money supply (M2), 91-day treasury bill rate (TB), treasury bond yield (GB), exchange rate (EX), inflow of foreign remittance (RT) and stock market index of DSEX are used for analysis. Symmetric and asymmetric univariate GARCH family of models and multivariate VAR model, along with block exogeneity and impulse response functions, are implemented on conditional volatility series to discover the possible interactions and causal relations between macroeconomic forces and stock return. Results: The analysis of the study exhibits time-varying volatility and volatility persistence in all the variables of interest. Moreover, the asymmetric effect is found significant in the stock return and most of the growth series of macroeconomic fundamentals. Results from the multivariate VAR model indicate that only short-term interest rate significantly influence the stock market volatility, while conditional stock return volatility is significant in explaining the volatility of industrial production, inflation, and treasury bill rate. Conclusion: The findings suggest an increasing interdependence between the money market and equity market as well as the macroeconomic fundamentals of Bangladesh.

• 융합정보논문지
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• 제9권9호
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• pp.133-140
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• 2019

최근 미중 무역마찰에 이어 7월 들어 우리나라와 일본과의 무역전쟁이 시작되었다. 우리나라 무역의존도는 대략 60%대 이상으로 높은 수출의존도와 수입의존도를 보이고 있다. 본 연구의 목적은 수출금액과 수출물동량, 수출물가, 국고채 금리를 살펴보고 수출금액에 어느 지수가 얼마나 영향을 미치는지 살펴보고 수출금액과의 동행성 및 변동성을 분석하는데 있다. 이를 위해 2000년 1월부터 2019년 6월까지 총 234개월간 각 지표들의 월간자료를 선정하였다. 분석결과 수출금액과 물동량은 매우 높은 동행성을 보였고 수출액과 금리는 낮은 수준의 동행성을 보였지만 수출액과 수출물가는 상호동행성이 매우 낮게 산출되었다. 향후 우리나라는 내수시장을 확대하는 정책은 물론 높은 무역의존도를 감안하여 수출액을 지속적으로 증가시켜 나가야 할 것이다. 이를 위해 수출물동량을 증대시키는 방안이 제시되어야 한다. 각 항만과 공항의 물류 환경과 경쟁력을 증대시키고 국내외 네트워크 구축과 물류기업의 지원서비스를 향상시켜 나가야 한다.

• 대한안전경영과학회:학술대회논문집
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• 대한안전경영과학회 2002년도 추계학술대회
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• pp.321-339
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• 2002

The result of variance decomposition through yield of Treasury of 30 year maturity of USA, S&P 500 index, stock price of KEPCO has 76.12% of impulse of KEPCO stock price at short-term horizon, but they have 51.40% at long-term horizon. After one year, they occupy 13.65%, and 33.25%. So their effects are increased. By the way, S&P 500 index and yield of Treasury of 30 year maturity of USA have relatively more effect for forecast of stock price oi KEPCO at short-term & long-term. The yield of Treasury of 30 year maturity of USA more than S&P 500 index have more effect for stock price of KEPCO. It is why. That foreign investors through fall of stock price of USA invest for emerging market is less than movement for emerging market of hedge funds through effect of fall of yield of Treasury of 30 year maturity of USA, according to relative effects for stock price of Korea companies. The result of variance decomposition through won/dollar foreign exchange rate, yield of corporate bond of 3 year maturity, Korea Stock Price index(KOSPI), stock price of KEPCO has 81.33% of impulse of KEPCO stock price at short-term horizon, but they have 41.73% at long-term horizon. After one year, they occupy 23.57% and 34.70%. So their effects are increased. By the way, KOSPI and won/dollar foreign exchange rate have relatively more effect for forecast of stock price of KEPCO at short-term & long-term. The won/dollar foreign exchange rate more than KOSPI have more effect for stock price of KEPCO. It is why. The recovery of economic condition through improvement of company revenue causes of rising of KOSPI. But, if persistence of low interest rate continues, fall of won/dollar foreign exchange rate will be more aggravated. And it will give positive effect for stock price of KEPCO. This gives more positive effect at two main reason. Firstly, through fall of won/dollar foreign exchange rate and rising of credit rating of Korea will be followed. Therefore, foreign investors will invest more funds to Korea. Secondly, inflow of foreign investment funds through profit of won/dollar foreign exchange rate and stock investment will be occurred. If appreciation of won against dollar is forecasted, foreign investors will buy won. Through this won, investors will do investment. Won/dollar foreign exchange rate is affected through external factors of yen/dollar foreign exchange rate, etc. Therefore, the exclusion of instable factors for foreign investors through rising of credit rating of Korea is necessary things.