(A) test of macroeconomic factor models in the korean stock market after the 1997 currency crisis외환위기 이후 한국시장에서의 주식가격결정요인

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This thesis tests macroeconomic factor models in the Korean stock market over the full period of January 1998 to September 2008 with the Chen, Roll and Ross (1986) approach. The macroeconomic variables that I use in this study are; industrial production, inflation, risk premium, term structure, oil prices and exchange rates. Empirical findings reveal that the unexpected inflation (UI) and changes in oil prices (OG) are the significant sources of risk in determining stock returns through the whole period of 2002 to 2008. Also, the unexpected changes in term structure (UTS) and changes in industrial production (MP) play a role as significant factors depending on sample period. Second, the KOSPI is the most pervasive factor on stock pricing. However, the CAPM cannot perfectly explain cross-sectional differences in stock movements in the Korean stock market since the pricing ability of UI is not affected when the KOSPI is added into the model.
Advisors
Lee, Hoe-Kyungresearcher이회경researcherKang, Jang-Kooresearcher강장구researcher
Description
한국과학기술원 : 금융전공,
Publisher
한국과학기술원
Issue Date
2009
Identifier
309796/325007  / 020073776
Language
eng
Description

학위논문(석사) - 한국과학기술원 : 금융전공, 2009.2, [ iv, 47 p. ]

Keywords

Macroeconomic Factor Model; APT; CAPM; 팩터모델; 재정가격결정이론; 자본자산가격결정모형

URI
http://hdl.handle.net/10203/52381
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=309796&flag=dissertation
Appears in Collection
KGSF-Theses_Master(석사논문)
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