부동산시장의 주택매매가격지수와 주식시장 종합주가지수 및 산업별지수와의 관계 연구

• 영문명: A Study on the Relationship between Housing Purchase Price Composite Index and Korea Stock Price Index & Industry Group Indices on the Stock Market
• 발행기관: 한국부동산학회
• 저자명: 송경섭(Song, Kyung Sup) 정문오(Jeong, Moon Oh) 이상엽(Lee, Sang Youb)
• 간행물 정보: 『부동산학보』不動産學報 第48輯, 77~93쪽, 전체 17쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2012.03.31

영문 초록

1. CONTENTS (1) RESEARCH OBJECTIVES This research analyzes the impact of fluctuation in Housing Purchase Price Composite Index (HPPCI) on the Korea Composite Stock Price Index (KOSPI) and its 22 indices by industry. It analyzes the correlation, and examines whether there is a precedence relationship or a causal relationship between them. (2) RESEARCH METHOD The research methodologies are the correlation analysis between variables, seasonal adjustment for time series analysis, and unit root test. By the Granger causality test, the causal relationship between variables is examined by cross-correlation analysis with certain period of time lag between variables. (3) RESEARCH FINDINGS As a result of correlation analysis, there was a strong positive relationship between HPPCI and KOSPI. The result of Granger causality test showed that textile and clothing industry and construction industry was influenced by HPPCI, and medical and precision stock index influences HPPCI. The result of cross-correlation analysis showed that communication industry and bank stock index precedes HPPCI one month and five months respectively. 2. RESULTS The variation in HPPCI influences the stock market as a whole and each industry. Therefore, it is assumed that it would be useful to take investment strategy of dealing relevant industrial sector and type of stocks with a time lag as composite housing price index fluctuates. Since there are diverse variables that affect stock market other than the above correlation, it would be effective to take the strategy of front-trading or post-trading.

목차

ABSTRACT

Ⅰ. 서론

Ⅱ. 부동산 및 주식시장 관계분석 선행연구 고찰

Ⅲ. 지수관계 분석방법

Ⅳ. 실증분석

Ⅴ. 결론

參考文獻

키워드

부동산시장 주택매매가격종합지수 한국종합주가지수 산업별지수 주식시장 Real Estate Market Housing Purchase Price Composite Indices KOSPI KOSPI Industrial Index Stock Market