건설업 BSI와 건설업 ETF 가격 간의 연관성

The Relationship between BSI and ETF Price in Construction Industry

This paper investigates the relationship between BSI(Business Survey Index) of construction industry and ETF(Exchange Traded Fund) price of construction industry. Previous papers investigate the relationship between BSI and ‘released ETF price’. The peculiarity of this study is that it explores the relationship between BSI and the long-term component of ETF, and the relationship between BSI and the short-term component of ETF. The first procedure used in this paper is to decompose ‘released ETF price’ into long-term component and short-term component by the unobserved component model. Second, ADF test results show that BSI, released ETF price, long-term component are non-stationary series, and short-term component is stationary series. Third, to explore the lead-lag relationship between BSI and ETF, this study uses the Granger causality test. Tests show that there are uni-directional Granger causalities from BSI to released ETF price, long-term component, short-term component. To sum up, the empirical evidence from this paper suggests that BSI precedes ETF price.