해운기업의 주가와 거시경제변수의 균형관계 분석

This study aims to analyze empirically the short and long-run relationship between stock price of Korean shipping firms and macroeconomic variables that affect the shipping industry. The used samples consist of the monthly data of Korea transportation index of KRX, Baltic Dry index, Korea/US Exchange rate, Treasury bill(90d), Treasury note(5y), US industrial production index, and US Western Texas Oil price over the period from January 2004 to December 2013. The empirical analysis was carried out according to 2 time periods, i.e. periods before and after global financial crisis of september 2008. The empirical results may be summarized as follows. At first, the unit root test shows that all variables are unstable, which could bring a misleading result when the conventional OLS method to identify the relationship with raw data is used. In this case, it is needed to test whether the co-integration exists in raw data or not by using Johansen's method. The test shows that the long-run interaction between variables exists with one co-integration function. Then, a short-run relationship is estimated in the form of VECM(vector error correction model). The of regression analysis with variables from VECM is 15% for whole sample period, 16% for the period before global financial crisis and 2% for after. The lowest value for the period after global financial crisis seems to imply that most countries implemented relevant economic policies to intervene actively in the risks occurred during the global crisis. The paper concludes with the remark that these results might be useful for shipping firms and investors to make proper decisions under the environment of changing macroeconomic variables.