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A study on forecasting the Korean composite stock price index

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A STUDY ON FORECASTING THE KOREAN COMPOSITE STOCK PRICE INDEX By Seung Woo Ryu
THESIS Submitted to KDI School of Public Policy and Management in partial fulfillment of the requirements for the degree of MASTER OF PUBLIC POLICY Committee in charge:
Approval as of November, 2008
ABSTRACT
A STUDY ON FORECASTING THE KOREAN COMPOSITE STOCK PRICE INDEX By Seung-Woo Ryu The stock market is one of the hottest issues in Korea recently. And most stock investors have their own tools of analysis for the stock market. This study explores the effective determinants to forecast the trend of KOSPI in a financial time series model, and examines how suitable the model is in forecasting the trend. Using the financial time series model, this study confirms the dominant role of both domestic indicators and foreign indicators as economic factors. Especially, this paper gives analyze on whether the BDI and OECD CLI improves the forecasting ability. By using the financial time series model with independent variables which are domestic and foreign indicators, this study gives analyze on their use. The results are as follows: first, through the Granger Causality, all the macroeconomic variables used in the analysis have Granger causality with KOSPI. Especially, Baltic Dry Indices (BDI) did Granger-cause KOSPI, and KOSPI did Granger-cause OECD Composite Leading Index (CLI). Second, the coefficient of error correction is found. That is, there is long-term equilibrium between KOSPI and the macro-econ


Full Text
Title A study on forecasting the Korean composite stock price index
Similar Titles
Material Type Reports
Author(English)

Ryu, Seung Woo

Publisher

[Seoul]:KDI School of Public Policy and Management

Date 2008
Pages 46
Subject Country South Korea(Asia and Pacific)
Language English
File Type Documents
Original Format pdf
Subject Economy < Financial Policy
Holding KDI School of Public Policy and Management

User Note

Thesis(Master)