환율, 외국인 주식거래와 주가간의 상호연관성


Structural Relationships between Exchange Rate, Stock Prices and Order Flow

정진현, 김현석

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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.


Ⅰ. 서론
Ⅱ. 환율, 외국인 주식거래와 주가
Ⅲ. 실증분석 모형
Ⅳ. 실증분석 결과
Ⅴ. 결론


  • 정진현 Jin-Hyeon Jeong. 제주대학교 사회교육과 부교수
  • 김현석 Hyun-Sok Kim. 부산대학교 경제학부 부교수


자료제공 : 네이버학술정보

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