건설업 주가지수와 산업생산지수 간의 상호연관성

The Relationship between Stock Price Index and Industrial Production Index in Construction Industry

This paper investigates the relation between stock price index and industrial production index in construction industry, namely, the relation between stock market and real economy activity. Because stock price is the leading indicator, stock price may be related to industrial production. Previous studies have been studied on the relation between released stock price index and IPI. However, this study is distinguishable in that released stock price index is decomposed into fundamental component and transitory component. The first step in this empirical analysis is to decompose released stock price index. In state-space model, fundamental component is set up as a random walk process and transitory component is modeled as a stationary AR(2) process. In the second step, to check the stationarity, the ADF unit root test is used. In the third step, to elucidate the relationship between stock price index and IPI, Granger causality test is applied. The findings are as follows. The results reveal that released stock price index Granger causes IPI. The fundamental component of stock price index Granger causes IPI, and the transitory component of stock price index Granger causes IPI. The increase in released stock price index and the fundamental component of stock price index causes IPI to increase after one month. This paper indicates that the analysis of stock price index helps to predict IPI in construction industry.