한국 자본시장 정보효율성이 경기변동성에 미치는 영향 = The Effect of Capital Market Information Efficiency on Business Cycle Volatility in Korea

다국어 초록 (Multilingual Abstract)

This study empirically analyzes the relationship between business cycle volatility and capital market information efficiency. For empirical analysis, quarterly variables such as business cycle volatility, capital market information efficiency, financial development, and external environment were used from 2000 to 2018. The capital market information efficiency was measured by Delay Measure, which measured the stock price adjustment speed. Indeed, business cycle volatility was measured using the standard deviation of cyclical volatility index. As a result of unit root test for these variables, it is mixed with stable and unstable time series data. For this reason, ARDL-bound test was used to identify the cointegration between stable and unstable time series and to analyze the short-run and long-run effects of capital market information efficiency on business cycle volatility.
As a result of the empirical analysis, the improvement of capital market information efficiency in the long run increases economic volatility. In the short term, however, no statistically significant relationship. This result is because the change of capital market information efficiency does not directly affect the real market, but indirectly affects the real market through the change of decision making by economic agents. In addition, considering the long-term relationship between capital market information efficiency and economic volatility, it suggests that the efficiency of capital market information should be increased by increasing the economic volatility of Korea, which has recently weakened due to sluggish consumption and investment. However, the improvement of capital market information efficiency means that external negative information is also delivered quickly. Therefore, continuous monitoring of external environment should be expanded and maintained.

국문 초록 (Abstract)

본 연구는 경기변동성과 자본시장 정보효율성의 관계를 실증적으로 분석하고자 하였으며, 실증분석을 위해 2000년부터 2018년까지 분기별 경기변동성과 자본시장 정보효율성, 금융발전, 대외 환경을 고려한 변수를 사용하였다. 자본시장 정보효율성은 Delay Measure를 이용한 주식 시장 정보 전달속도를 이용하여 측정하고, 경기변동성은 경기동행지수 순환변동치의 표준편차를 이용하여 측정하였다. 이상의 변수들에 대한 단위근 검정결과, 불안정 시계열과 안정시계열이 혼재되어 있고, 자본시장 정보효율성이 경기변동성에 미치는 장·단기 영향을 파악하기 위해서 ARDL 한계검정법을 사용하였다.
실증분석 결과, 장기적으로 자본시장 정보효율성의 향상은 경기변동성을 증대시키는 것으로 나타났으나, 단기적으로는 통계적으로 유의한 관계가 존재하지 않는 것으로 나타났다. 이는 자본시장 정보효율성 변화가 실물시장 미치는 직접적 영향이 아닌 경제주체들의 의사결정 변화를 통해 실물시장에 영향을 미치는 간접적 영향에 따른 결과로 판단된다. 또한 자본시장 정보효율성과 경기변동성의 장기적인 관계가 존재한다는 실증분석 결과를 고려할 때, 최근 소비와 투자의 부진으로 약화된 한국의 경기변동성을 증대시키는 방법으로 자본시장 정보효율성을 향상시킬 필요성이 있다는 함의를 보여주고 있다. 다만, 자본시장 정보효율성의 향상은 대외적으로 부정적인 정보역시 빠르게 전달된다는 것을 의미하므로 지속적인 대외환경 모니터링을 확대·유지해야 할 것이다.

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