IT산업을 중심으로 한 산업 간 주가의 가격, 변동성 이전효과

This study investigates the contagion effects and the correlation relationships of inter-industry stock indexes among Information Technology, Manufacturing, Financial Service, and Service industries. The findings of this study are as follows. First, there is positive price spillover effect from manufacturing industry to service industry, and there are negative price spillover effects from service industry to IT industry and to financial service industry. These results imply that there is a complementary relationship between manufacturing and service industries, and that there are substitutional relationships between service industry and IT and finacial service industries. Second, the IT industry is independent from the movements of other particular industries, whereas the economic shocks occurred in IT industry affect the manufacturing and service industries. Finally, the results from the analysis of conditional correlation show that the new industries, such as financial service and service industries, are relatively more vulnerable to the macroeconomic shocks such as the global financial crisis in 2008 than the traditional industries such as manufacturing industry. Therefore, after the period of global financial crisis and eurozone crisis, the major growth drivers of recent economy are traditional manufacturing and the IT industry covering more than fourty percents of that manufacturing industry.