국제화 정도에 따른 주식수익률과 환율간의 관계

A Study on the Relation between Stock Return and Exchange Rates: Internationalization and Market Difference

The objective of this study is examine the causal relationship between exchanges rates and stock return using won/dollar(us) exchange rate and stock index returns by size and markets. This study uses daily data from 2003/03/03 to 2013/02/28 in Korea and conducts the unit root test, correlation analysis and Granger causality test. Major results are summarized as follows. Firstly, unit roots tests are found in exchanges rates and stock return. And correlation analysis indicate that negative correlation between exchanges rates and stock return. And we find that the effect from exchange rates and stock index return is relatively strong after the international financial crisis. The verified results of Granger causality between the exchange and the Securities market index returns, we can see that a causal relationship exists between influential stock index returns and exchange rates. The results of this study consistent with Vygodina(2006) claims that causal relationship between stock returns and exchange rates differently show depend on the size of the firm.