한국 수출액과 수입액이 한국 유가증권시장에 미치는 상호영향력 변화에 관한 연구

This empirical study focuses on the mutual influence among Korea’s stock market, export volume and import volume index. We examine the interdependence of Korea’s stock market, export volume and import volume index using 436 monthly data or observations from January 31, 1980 to April 30, 2016. The Granger causality model based on the vector autoregression model and the Johansen cointegration test are employed. Impulse response function based on the VAR model as well as variance decomposition were employed after the unit root tests, cointegration test and Granger causality test. Results showed from basic statistical analysis that Korea’s stock market index, export volume index and import volume have unit roots. In addition, there is at least one cointegration among them. Lastly, we find that Korea’s stock market index granger-causes Korea’s export volume and import volume and Korea’s export volume granger-causes Korea’s import volume.