The relationship between Stock prices and Macroeconomics variables: The Evidence from Mongolia and Korea

• 영문명: The relationship between Stock prices and Macroeconomics variables: The Evidence from Mongolia and Korea
• 발행기관: 국제지역학회
• 저자명: Enkhzul Mendee Sang Soo Park Gi Choon Kang
• 간행물 정보: 『국제지역학회 학술대회자료집』2012년 춘계학술발표논문집, 113~145쪽, 전체 33쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2012.03.31

영문 초록

The purpose of this study is to examine the relationship between the stock market movement and macroeconomic variables in Mongolia and Korea. It is interesting and important to understand the relationship between the stock market and macroeconomic variables of Mongolia as a just developing stock market. The analysis was based on the Engle Granger methodology with the framework of the Vector Error Correction model (VECM). To do this, the unit root test and cointegration analysis were examined. The data are based on the period of January, 2000 to December, 2009 in the case of Mongolia, and from January, 2002 to December, 2009 in the case of Korea. Macroeconomic variables include Consumer price index (CPI), Interest rate of one year savings (IR), Money supply (M2) and Exchange rates: US dollar for both countries and Korean won for the case of Mongolia. There were a long-rung relationship between the stock market and macroeconomic variables environment, in the two countries. The unit root test results show that all variables are non-stationary at level, but they were stationary at first difference. The cointegration test result showed that there was one cointegration in Mongolian data, and two cointegrations in Korean data. Finally, from the Granger causality test results, Mongolian stock prices cause to the money supply and CPI. In the case of Korea, there were bidirectional causality between the stock prices and the interest rate. Therefore, all macroeconomic variables cause to the stock prices by unidirectional way.

키워드

Stock prices Macroeconomic variables Granger causality Vector Error Correction Model