한⋅미간 주가의 非 펀더멘탈 부문 간 동조화 여부 검정

The paper analyzes the co-movements of non-fundamental factors between Korea and the United States stock markets. The stock prices of two countries may be decomposed into the long run co-integration equilibrium defined from the monetaristic fundamentals and residual factors (i.e. non-fundamental). Using this decomposition and a VAR (vectorautoregressive) representation of error correction model, the dynamic relations of non-fundamental factors between Korea and the United States stock prices may be analyzed. An empirical application has been conducted based on the suggested dynamic VAR model with the variables of interest rates, inflation, industrial production, monetary aggregate and foreign exchange rate. According to the impulse response analysis, variance decomposition and Granger causality, we found that there may be significant co-movements of non-fundamental factors between Korea and the United States stock prices after the Asian financial crisis. The co-movement is a uni-directional one originated not from Korea but from the United States. We suspect that the contagion-effect may cause this co-movement which reflects some bubbles without considering the economic fundamental variations seriously. However, we may not find the same co-movement using the data for the before-Asian-crisis era.