The purpose of this study is to investigate the empirical relationship between the customer deposit and stock index using daily data from 1997.1.3 to 1999.12.28.
Empirical analysis results of this study are as follows.
Under the correlation analysis, there exists a strong positive correlation between the customer deposit and Kospi(Korean Stock Price Index).
The simple regression result with white noise assumption in error term shows that the customer deposit has an marginal 5.775point effect on Kospi change when 100 billion won increases in customer deposit.
To find the leading or lagging effect between the customer deposit and Kospi, this study used the cointegration analysis and error correction model. The customer deposit variables and Kospi variables were cointegrated so that an error correction model could be used. The empirical result shows that the Kospi leads the customer deposit by four days. But the customer deposit dosen’t lead the KOSPI. Under this result we can find that concerning customer deposit world the weak-form of efficient market hypothesis is well keeped in Korean stock market.
