한국 주식시장의 거품의 추정과 검증
- 발행기관 서강대학교 일반대학원 경제학과
- 지도교수 남주하
- 발행년도 2009
- 학위수여년월 2009. 8
- 학위명 석사
- 학과 일반대학원 경제학과
- 실제URI http://www.dcollection.net/handler/sogang/000000045483
- 본문언어 한국어
- 저작권 서강대학교의 논문은 저작권에 의해 보호받습니다
초록/요약
This study estimates bubbles in Korea stock market, Kospi, by using of an information error model based on present value model of stock and tests whether bubbles exist in Kospi regarding the probability of bursting. Two test model, extraneous bubble model and intrinsic bubble model, respectively, are derived from applying the survival analysis to the estimated bubbles. The test results show that extraneous bubbles existed only in the sample period from November 2007 to April 2009 in Kospi. Intrinsic bubbles, however, did not exist only in the sample period from August 1998 to October 2007 after Asian crisis had happened. An interesting result of intrinsic bubbles is that external variables such as exchange rates and current accounts became significant dependent variables after Asian crisis, although they did not explain bubbles of stock in the previous sample periods. This result has a meaningful implication for governments determining and performing the economic policy.
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