주가수익비율의 주가 관련성에 관한 실증 연구

This study investigates the relationships between price-earnings ratios and stock prices in Korean stock market. We employed unit root test, cointegration test, Granger causality test based on vector auto-regression (VAR) model approach useful for time series data analysis. And we used monthly data of price-earnings ratios and stock price indices for KOSPI market and sub-markets divided by size(market capitalization) or industry during the period 2000-2018. In unit root test, all of the level variables in price-earnings ratios and stock price indices for the markets were shown to have unit root and to be non-stationary. But all of the first differential variables were found to be stationary without unit root. The Johansen cointegration test showed that there were cointeration vectors for the markets of bank industry, securities industry, and insurance industry while there were no cointeration vectors for other markets. In Granger causality test, we found price-earnings ratios did Granger cause stock price indices for the markets of middle sized stock, small sized stock, securities indusrty, and insurance industry in the analysis with 2 months of time lags even though the results were not consistent with different time lags and VEC model instead of VAR model. This study suggests that we can predict stock price by using price-earnings ratio based on the results shown in Granger causality test. And the results can be the evidence that the market inefficiency exists in Korea stock market.