LOG IN⠴ݱâ

  • ȸ¿ø´ÔÀÇ ¾ÆÀ̵ð¿Í Æнº¿öµå¸¦ ÀÔ·ÂÇØ ÁÖ¼¼¿ä.
  • ȸ¿øÀÌ ¾Æ´Ï½Ã¸é ¾Æ·¡ [ȸ¿ø°¡ÀÔ]À» ´­·¯ ȸ¿ø°¡ÀÔÀ» ÇØÁֽñ⠹ٶø´Ï´Ù.

¾ÆÀ̵ð ÀúÀå

   

¾ÆÀ̵ð Áߺ¹°Ë»ç⠴ݱâ

HONGGIDONG ˼
»ç¿ë °¡´ÉÇÑ È¸¿ø ¾ÆÀ̵ð ÀÔ´Ï´Ù.

E-mail Áߺ¹È®ÀÎ⠴ݱâ

honggildong@naver.com ˼
»ç¿ë °¡´ÉÇÑ E-mail ÁÖ¼Ò ÀÔ´Ï´Ù.

¿ìÆí¹øÈ£ °Ë»ö⠴ݱâ

°Ë»ö

SEARCH⠴ݱâ

ºñ¹Ð¹øÈ£ ã±â

¾ÆÀ̵ð

¼º¸í

E-mail

ÇмúÀÚ·á °Ë»ö

ÀºÇà¾÷Á¾ ¹× 4´ë ±ÝÀ¶ÁöÁÖ ÁֽļöÀÍ·ü¿¡ ¹ÌÄ£ ȯÀ²°ú ȯÀ²º¯µ¿¼ºÀÇ ¿µÇâ

  • ³ªÂùÈÖ Çѱ¹¿Ü±¹¾î´ëÇб³
  • ¹éÀç½Â Çѱ¹¿Ü±¹¾î´ëÇб³
±ÝÀ¶ÀÚÀ¯È­ÀÇ ÁøÀü, ±â¼úÇõ½Å, ½ÃÀå°³¹æ µîÀ¸·Î ¼¼°è±ÝÀ¶Àº ´ëÇüÈ­ °â¾÷È­ Ãß¼¼¿¡ ÀÖ°í, ±¹³» ¿¡¼­µµ 4´ë ±ÝÀ¶ÁöÁÖȸ»çµéÀÌ Ãâ¹üÇÑ ÀÌÈÄ ÀÌµé ±ÝÀ¶ÁöÁÖ»çµéÀÌ ±¹³» ±ÝÀ¶½ÃÀåÀ» ÁÖµµÇÏ°í ÀÖ´Â ¹Ù, À̵éÀÇ ÁֽļöÀÍ·ü¿¡ ȯÀ²°ú ȯÀ²º¯µ¿¼ºÀÌ ¹ÌÄ¡´Â ¿µÇâÀ» ºÐ¼®ÇÏ¿© ±ÝÀ¶ÁöÁÖ»çµéÀÇ È¯¸®½ºÅ© ¾÷¹«¿¡ ½ÇÁõÀû ºÐ¼®ÀڷḦ Á¦½ÃÇÒ ÇÊ¿ä°¡ ÀÖÀ» ¼ö ÀÖ´Ù. º» ¿¬±¸´Â KOSPI¼öÀÍ·ü, ȯÀ² ¹× ȯÀ²º¯ µ¿¼ºÀÌ ÀºÇà¾÷Á¾°ú 4´ë ±ÝÀ¶ÁöÁÖÀÇ ÁֽļöÀÍ·ü¿¡ ¾î¶² ¿µÇâÀ» ¹ÌÄ¡´ÂÁö¸¦ ºÐ¼®Çϱâ À§ÇØ ¼öÁ¤µÈ ÀϹÝÀÚ±âȸ±Í Á¶°ÇºÎºÐ»ê¸ðÇü(GARCH-M)À» »ç¿ëÇÏ¿´´Ù. ±âÁ¸¿¬±¸¿Í ´Þ¸® ÀºÇà¾÷Á¾ ¹× ±¹³» 4´ë ±Ý À¶ÁöÁÖ¸¦ ÇÔ²² ºÐ¼®ÇÏ°í ȯÀ²º¯µ¿·ü »Ó¸¸ ¾Æ´Ï¶ó ȯÀ²ÀÇ º¯µ¿¼º¿¡ ÃÊÁ¡À» µÐ´Ù´Â µ¥¿¡ Â÷º°È­µÈ ÀÇÀÇ°¡ ÀÖ´Ù. ºÐ¼®ÀÚ·á´Â 2003³âºÎÅÍ 2017³â±îÁö ±¹³» ÀºÇà¾÷Á¾ ¹× 4´ë ±ÝÀ¶ÁöÁÖÀÇ ÀϺ° Áֽļö ÀÍ·ü, KOSPI¼öÀÍ·ü, ¹Ì´Þ·¯(USD), Áß±¹À§¾È(CNY), ÀϺ»¿£(JPY), À¯·´À¯·Î(EUR), ¿µ±¹ÆÄ¿îµå(GBP) µîÀÇ È¯À²º¯µ¿·ü µîÀ» ÀÌ¿ëÇÏ¿´´Ù. ½ÇÁõºÐ¼® °á°ú KOSPI¼öÀÍ·üÀÌ ÀºÇà¾÷Á¾°ú 4´ë ±ÝÀ¶ÁöÁÖ ÁÖ½Ä ¼öÀÍ·ü¿¡ °¡Àå Å« ¿µÇâÀ» ¹ÌÃÆÀ¸¸ç, KOSPI ¼öÀÍ·ü°ú ±ÝÀ¶ÁöÁÖ ÁֽļöÀÍ·üÀº ¾ç(+)ÀÇ °ü°èÀÎ ÇÑÆí ±× Á¤µµ´Â ±ÝÀ¶ÁöÁÖ º°·Î ´Ù¼Ò ´Ù¸£°Ô ³ªÅ¸³µ´Ù. ÁֽļöÀÍ·ü¿¡ ´ëÇÑ 5°³ Á¾·ùÀÇ È¯À²º¯µ¿·ü ¿µÇâ ¿¡¼­ ¹Ì±¹´Þ·¯(USD)¿Í ÀϺ»¿£(JPY)ÀÇ º¯µ¿·üÀº ÀºÇà¾÷Á¾°ú 4´ë ±ÝÀ¶ÁöÁÖ ÁֽļöÀÍ·ü ¸ðµÎ¿¡¼­ À¯ ÀǹÌÇÑ À½(-)ÀÇ ¿µÇâÀÌ ÀÖ¾úÀ¸¸ç, Áß±¹À§¾È(CNY), À¯·´À¯·Î(EUR), ¿µ±¹ÆÄ¿îµå(GBP)´Â ÀϺΠ±ÝÀ¶ ÁöÁÖ ÁֽļöÀÍ·ü¿¡ À¯ÀǹÌÇÑ ¿µÇâÀÌ ÀÖ¾ú´Ù. ÁֽļöÀÍ·ü º¯µ¿¼º¿¡ ´ëÇÑ È¯À² º¯µ¿¼º ¿µÇâ Ãø¸é¿¡ ¼­´Â Áß±¹À§¾È(CNY)ÀÌ À¯ÀǹÌÇÑ ¾ç(+)ÀÇ ¿µÇâÀÌ ÀÖ¾î, Áß±¹À§¾È(CNY)ÀÇ È¯À² º¯µ¿¼ºÀÌ Ä¿Áö¸é ÁÖ ½Ä¼öÀÍ·ü º¯µ¿¼ºµµ Áõ°¡ÇÔÀ» ¾Ë ¼ö ÀÖ´Ù. Ç¥º» ¼¼ºÐ±â°£º° ÁֽļöÀÍ·ü¿¡ ´ëÇÑ È¯À² ¿µÇâ ºñ±³¿¡ ¼­´Â ±ÝÀ¶À§±â ÀÌÀü°ú ÀÌÈÄ ±â°£ º¸´Ù ±ÝÀ¶À§±â ±â°£Áß¿¡ ȯÀ²°ú ȯÀ²º¯µ¿¼º ¿µÇâÀÌ ´ë´ÜÈ÷ È®´ë µÇ¾ú´Ù. KOSPI¼öÀÍ·ü, ȯÀ² ¹× ȯÀ²º¯µ¿¼ºÀÌ ÀºÇà¾÷Á¾°ú 4´ë ±ÝÀ¶ÁöÁÖ ÁֽļöÀÍ·ü°ú ÁֽļöÀÍ·ü º¯µ¿¼º¿¡ ¹ÌÄ£ ÀÌ·¯ÇÑ Á¾ÇÕ °á°ú´Â ±ÝÀ¶ÁöÁÖº° ȯ¸®½ºÅ© °ü¸®¾÷¹«¿Í À̵é Á¾¸ñ¿¡ ´ëÇÑ ÅõÀÚÀÚµé ÀÇ ÅõÀÚ °ü·Ã ÀÇ»ç°áÁ¤¿¡ Âü°íÀÚ·á·Î È°¿ëÇÒ ¼ö ÀÖÀ» °ÍÀ¸·Î »ç·áµÈ´Ù.
±ÝÀ¶ÁöÁÖ,ÁֽļöÀÍ·ü,ȯÀ²,ȯÀ²º¯µ¿¼º

Effect of the Exchange Rates and their Volatilities on the Stock Return of the Banking Industry and Financial Holding Companies



The growth of financial liberalization, technological innovation, and market opening has led the global financial sector to expand its operations. In this study, we examine the effects of the foreign exchange rates and their volatilities on the rate of stock return of the banking industry and four major financial holding companies in Korea. Using a revised GARCH ? M model, we analyzed how the KOSPI yield, exchange rates and their volatilities affect the rate of return of stocks of the banking industry and the four major financial holding companies. To test goal of the paper, we used daily return from 2003 to 2017 for the domestic banking sector and the four largest financial holding companies, the KOSPI return rate and 5 kinds of the foreign exchange rates including USD. Empirical analysis shows that the yield ratio of the KOSPI has the greatest impact on the banking sector and the return of the four major financial holding shares, with the KOSPI earning rate slightly different from the positive for each financial holding. The effect of exchange rates and their volatilities on the stock returns of the banking industry and FHCs was significantly greater than that of interest rates and their volatility. The effect of the US Dollar (USD) and Japanese Yen (JPY) were negatively correlated to banking industry and FHC stock returns. Relatedly, the Chinese Yuan (CNY), European Euro (EUR), and the British Pound (GBP) had a significant effect on certain FHCs.Regarding the effect of exchange rate volatility on stock returns, largely insignificant relationships were found except for the case of a negative correlation between EUR volatility and Woori Financial Group (WRFG). In contrast, positive correlations were observed between exchange rate volatility and stock return volatility in the cases of: (i) CNY, USD and banking industry; (ii) CNY and Shinhan Financial Group (SHFG); and, (iii) USD, CNY, JPY, EUR and HNFG. Further, the exchange rate volatility effects were greatest during the financial crisis relative to the period ante et post. The results of this study on the impact of the foreign exchange rates and their volatilities on the stock returns of the banking sector and the four financial holdings have meaningful implications for financial institutions¡¯ risk management, and investors¡¯ investment decision-making.
GARCH-M,GARCH-M model,Financial Holding Company,Stock Return,Exchange Rate,Volatility