원문정보
초록
영어
This study analyzes the relationship between the foreign exchange market and the stock market. To investigate the extended macroeconomic factor in the existing framework empirical analysis were conducted in terms of following two aspects. Firstly, we analyze the relationship between exchange rates, foreign stock trading, and stock market. Secondly, based on the analytical results of the existing linear approaches such as stationarity and causality test, we extend the test to the nonlinear model. As a result of the empirical analysis, the exchange rate risk showed a one-sided causal relationship to stock returns, and foreign trade variable showed causal relationship to the stock return. The above empirical results provide following two implications: first, in order to analyze the financial market dynamically, it is necessary to extend the theoretical model that considers foreign stock trading factors in the analysis. Second, an extended analysis is needed that includes the trader's inaction to the asset price changes.
목차
Ⅰ. 서론
Ⅱ. 환율, 외국인 주식거래와 주가
Ⅲ. 실증분석 모형
Ⅳ. 실증분석 결과
Ⅴ. 결론
참고문헌