부동산시장의 주택매매가격지수와 주식시장 종합주가지수 및 산업별지수와의 관계 연구

A Study on the Relationship between Housing Purchase Price Composite Index and Korea Stock Price Index & Industry Group Indices on the Stock Market

1. CONTENTS (1) RESEARCH OBJECTIVES This research analyzes the impact of fluctuation in Housing Purchase Price Composite Index (HPPCI) on the Korea Composite Stock Price Index (KOSPI) and its 22 indices by industry. It analyzes the correlation, and examines whether there is a precedence relationship or a causal relationship between them. (2) RESEARCH METHOD The research methodologies are the correlation analysis between variables, seasonal adjustment for time series analysis, and unit root test. By the Granger causality test, the causal relationship between variables is examined by cross-correlation analysis with certain period of time lag between variables. (3) RESEARCH FINDINGS As a result of correlation analysis, there was a strong positive relationship between HPPCI and KOSPI. The result of Granger causality test showed that textile and clothing industry and construction industry was influenced by HPPCI, and medical and precision stock index influences HPPCI. The result of cross-correlation analysis showed that communication industry and bank stock index precedes HPPCI one month and five months respectively. 2. RESULTS The variation in HPPCI influences the stock market as a whole and each industry. Therefore, it is assumed that it would be useful to take investment strategy of dealing relevant industrial sector and type of stocks with a time lag as composite housing price index fluctuates. Since there are diverse variables that affect stock market other than the above correlation, it would be effective to take the strategy of front-trading or post-trading.