Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/317290 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Business Economics and Management (JBEM) [ISSN:] 2029-4433 [Volume:] 19 [Issue:] 2 [Year:] 2018 [Pages:] 343-359
Publisher: 
Vilnius Gediminas Technical University, Vilnius
Abstract: 
This study investigates stock price movements in response to macroeconomic shocks, allowing for asymmetry in this relationship. Given Ferson's (1989) finding that large and small stocks can exhibit different risk behaviors, we examine the behaviors of the KOSPI and KOSDAQ stock markets in response to changes in the price level, real interest rate, and real USD/KRW exchange rate using simple and nonlinear autoregressive-distributed lag (ARDL) models. We find that the long-run effects of macroeconomic shocks are relatively insignificant under the simple ARDL model, whereas a significant and negative long-run effect is found for almost every explanatory variable-market pair under the nonlinear model. In addition, we find that the long-run effects of stock price shocks on macroeconomic variables are more significant under the nonlinear model. Overall, the results imply that it is difficult to identify the relationship between macroeconomic variables and stock price dynamics without considering asymmetry.
Subjects: 
asymmetric relationship
autoregressive-distributed lag
emerging market
macroeconomic shocks
KOSDAQ
KOSPI
JEL: 
C22
E44
G12
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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