서지주요정보
通貨量 變動과 株式收益率間의 關係에 대한 實證分析 = An empirical analysis on the relationship between the change of money stocks and stock returns
서명 / 저자 通貨量 變動과 株式收益率間의 關係에 대한 實證分析 = An empirical analysis on the relationship between the change of money stocks and stock returns / 文在燾.
저자명 문재도 ; Moon, Jae-Do
발행사항 [서울 : 한국과학기술원, 1986].
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등록번호

4103960

소장위치/청구기호

학술문화관(문화관) 보존서고

MMGS 8612

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초록정보

This study is concerned with the relationship between the change of money stocks and stock returns. It examines stock market efficiency with respect to money supply data and the direction of stock returns over changes in money growth rates by testing regression models of stock returns on monetary variables. To analyse the relationship between changes in the rate of the money supply and stock returns, regression models using lagged variables are formulated. This empirical analysis used seasonally adjusted data of money stock growth and the composite stock price index during the 1975 to the 1984 period. The evidence indicates (1) the meaningful lag in the effect of monetary policy on the stock market and (2) positive relations between money stocks and stock returns. Therefore this evidence is inconsistent with the efficient market model. Current security returns don't incorporate all information contained in past money supply stock and, in addition, don't appear to anticipate future changes in the money supply. This result is different from that of the stock markets in New York. In addition, M2 is superior to other indexes (reserve money, M1) with relation to stock returns. In conclusion, the evidence is consistent with the predictive form of the monetary portfolio adjustment model in Korea. For Korean stock market, the trading rules using past values of the money supply would be more profitable than the Buy & Hold policy.

서지기타정보

서지기타정보
청구기호 {MMGS 8612
형태사항 ii, 95 p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Jae-Do Moon
지도교수의 한글표기 : 노공균
지도교수의 영문표기 : Kong-Kyun Ro
학위논문 학위논문(석사) - 한국과학기술원 : 경영과학과,
서지주기 참고문헌 : p. 91-95
주제 Econometrics.
Money supply.
주식. --과학기술용어시소러스
수익성 분석. --과학기술용어시소러스
계량 경제학. --과학기술용어시소러스
Stocks.
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