시변가변벡터회귀모형을 활용한 비유동성지표의 KOSPI에 대한 영향력 변화 연구

This study investigates the impact of macroeconomic variables and market liquidity variables on the KOSPI index, which has experienced increased volatility since the COVID-19 pandemic. The effects of illiquidity indicators and macroeconomic variables on the KOSPI were analyzed by a Time Varying Parameter Vector Autoregressive (TVP-VAR) model. The results indicate that higher illiquidity levels negatively impact the KOSPI index, which highlights the high volatility of the Korean stock market due to liquidity factors. However, this impact diminishes over time, suggesting that the market has developed, and fundamental factors have become more influential. Sector-specific analysis reveals that key sectors such as semiconductors and IT hardware are significantly affected by illiquidity. These sectors could experience positive growth if liquidity is adequately supplied. This result indicate that these sectors are highly susceptible to negative impacts from foreign capital flows and changes in stakeholder demand and supply. The implications drawn from this study are as follows. First, the impact of illiquidity on the Korean stock market still exists, but their magnitude have reduced over time due to market development and improved efficiency. Nonetheless, given the ongoing significance of illiquidity in sectors with high market capitalization, monitoring external liquidity conditions, such as monetary policy changes remains crucial for understanding the Korean stock market.