독일과 한국 대중소기업의 상호 영향력 비교에 관한 실증적 연구 = A Comparative Study on the Effects of Exports on Stock Index Growth of Large-scale, Medium-scale and Small-scale Companies in South Korea and Germany

다국어 초록 (Multilingual Abstract)

Purpose - This study Compared the effects of exports on the growth of stock indices of large-scale, medium-scale and small-scale companies in South Korea and Germany.
Design/methodology/approach - The interdependence of exports on the growth of stock index growth relative to large-scale, medium-scale or small-scale businesses in South Korea and Germany was examined using 1176 data observations from May 20, 2010 to December 30, 2014. Impulse response function based on a VAR model as well as variance decomposition were employed after unit root, cointegration and Granger causality tests were conducted.
Findings - This research showed several results. First, stock indices of large-scale, medium-scale and small-scale companies in South Korea and Germanies have unit roots.
Second, first differential stock indices of large-scale, medium-scale and small-scale companies in South Korea and Germanies have no unit roots. Third, there is no cointegration among them. Fourth, the correlation large-sized and small-sized businesses in Germany is 0.983564..
But the correlation large-sized and small-sized businesses in South Korea is 0.358174.
Research implications or Originality –We find that exports have a positive effect on the growth of Korean mid-sized and small businesses, similar to the same observation made with respect to mid-sized and small business stock indices in Germany.

참고문헌 (Reference)

• 1 강철구, "한일 중견기업의 성장전략 비교를 통한 시사점" 국제지역연구원 19 (19): 193-216, 2012
• 2 김정호, "중견기업의 기술혁신과 수출이 경영성과에 미치는 영향: 기업유형에 따른 차별적 효과" 한국경영학회 43 (43): 1787-1812, 2014
• 3 Kawaller, I. G., "The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index" 42 (42): 1309-1329, 1987
• 4 Frino, A., "The Lead–lag Relationship between Stock Indices and Stock Index Futures Contracts : Further Australian Evidence" 35 (35): 333-341, 1999
• 5 Ryoo, H. J., "The Impact of Stock Index Futures on the Korean Stock Market" 14 (14): 243-251, 2004
• 6 Stoll, H. R., "The Dynamics of Stock Index and Stock Index Futures Returns" 25 (25): 441-468, 1990
• 7 Seddighi, H. R., "The Chinese Stock Exchange Market : Operations and Efficiency" 14 : 785-797, 2004
• 8 Dickey, D. A., "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root" 49 : 1057-1072, 1981
• 9 Ryoo, H. J., "Korean Stock Prices Under Price Limits : Variance Ratio Tests of Random Walks" 12 : 545-553, 2002
• 10 Hasanov, M., "Is South Korea’s Stock Market Efficient? Evidence from a Nonlinear Unit Root Test" 16 : 163-167, 2009
• 11 Rahman, A. H., "Is South Korea’s Stock Market Efficient? A Note" 14 : 71-74, 2007
• 12 Narayan, K. P., "Is South Korea’s Stock Market Efficient?" 11 : 707-710, 2004
• 13 Iihara, Y., "Intraday Return Dynamics between the Cash and the Futures Markets in Japan" 16 (16): 147-, 1996
• 14 Bollerslev, T., "Generalized Autoregressive Conditional Heteroscedasticity" 31 : 307-327, 1986
• 15 Grünbichler, A., "Electronic Screen Trading and the Transmission of Information : An Empirical Examination" 3 (3): 166-187, 1994
• 16 Fama, E., "Efficient Capital Markets : A Review of Theory and Empirical Work" 25 : 383-417, 1970
• 17 Huang, B. N., "Do Asian Stock Market Prices Follow Random Walks? Evidence from the Variance Ratio Test" 5 : 251-256, 1995
• 18 Dickey, D. A., "Distribution for the Estimates for Auto Regressive Time Series with a Unit Root" 74 : 427-431, 1979
• 19 Ayadi, O. F., "An Application of Variance Ratio Test to the Korean Securities Market" 18 : 643-658, 1994
• 20 Brooks, C., "A Trading Strategy based on the Lead–lag Relationship between the Spot Index and Futures Contract for the FTSE 100" 17 (17): 31-44, 2001
• 21 Min, J. H., "A Further Investigation of the Lead–lag Relationship between the Spot Market and Stock Index Futures : Early Evidence from Korea" 19 (19): 217-232, 1999
• 22 Chan, K., "A Further Analysis of the Lead–lag Relationship between the Cash Market and Stock Index Futures Market" 5 (5): 123-152, 1992
• 23 Bollerslev, T., "A Conditionally Heteroscedastic Time Series Model for Speculative Prices and Rates of Return" 69 : 542-547, 1987
• 24 Hoque, H., "A Comparison of Variance Ratio Tests of Random Walk : A Case of Asian Emerging Stock Markets" 16 : 488-502, 2007