코스피 주가지수와 원/달러 환율간의 구조적 변동

This study examines the impacts of financial industry stock return on macroeconomic variables under the global economic crisis. Specifically, this study is to explore whether or not there exist the impacts among financial industries such as the bank, the security, and the insurance. We examine hypothesis that the relationship between financial industry stock price and macroeconomic variables, if any, are reinforced right after the global economic crisis of 2008. Our study conducts the unit root test, the Chow test, the Granger causality test, multiple regression analysis and the impulse-response function analysis. We select sample period from January 2005 to December 2010, and uses daily data of exchange rates and interest rate from the three financial industries and macroeconomic variables. Major results are summarized as follows. First, this paper finds that the exchange rates and the interest rates of the Korea financial market have a negative impact on the financial industry index returns in the Korean stock market. Second, the impacts on the financial industry index returns of the exchange rates and the interest rates are quite different between the industries of the bank, the security, and the insurance. Third, this paper finds the fact that the impacts are reinforced during the post-crisis sample period. This results seem to make trading decisions based on the already known the Korean stock market returns data more frequently than the individual investors or institutional investors.