- P-ISSN 1738-656X
- E-ISSN 2586-4130
한국개발연구. Vol. 35, No. 2, May 2013, pp. 107-131
https://doi.org/10.23895/kdijep.2013.35.2.107
In this paper, we test and estimate the stochastic non-fundamental trend in Korean stock market. For this, following Kim (2011), we exploit that the long-run equilibrium stock price may be decomposed into fundamental and stochastic non-fundamental trends (i.e., the sum of dividend innovations and a part that are orthogonal with the dividend innovations) by using the Beveridge-Nelson decomposition and projections. In this VAR construction, there is an error correction mechanism through which stock prices converge to their long-run equilibrium, which also contain the stated stochastic non-fundamental trend as well as fundamental trend. The estimation and test results using yearly data from the Korea (1976-2012) indicated that fluctuations in stock prices during that period can be explained mainly not by the stochastic non-fundamental trend but by the dividend trend. However, during some periods like after Seoul Olympic Games, we may observe the non-fundamental trend affected to the stock price variation.
주가(Stock Price), 펀더멘털과 무관한 추세(Stochastic Nonfundamental Trend), 베버리지넬슨 분해(BeveridgeNelson Decomposition), 오차수정모형(Error Correction Model)
C3, F4