This study analyzed the relations between the KOSPI and other economic factors based on time-series daily data since 2002. For this objective, features of variables were analyzed, the unit root test and co-integration test were conducted, the long-term equilibrium vector and Vector Error Correction Model(“VECM”) were estimated, and the impulse response was analyzed on the vector autoregressive model.
The following three results were analyzed from the VECM. First, the estimation by the co-integration vector shows a positive correlation between interest rates(corporate bond yields) and the KOSPI over the long-run. Second, the estimation of the error correction term in the VECM shows that the adjustment speed to the long-term equilibrium turns out slow because the error correction term for the daily data model, which means the adjustment speed to the long-term equilibrium, was only -0.0001. Third, the analysis results on the impulse responses turn out that the Dow Jones index shows the strongest positive impulse response and the KRW/USD exchange rate shows the strongest negative impulse response.