본 연구는 거시경제변수들이 주식수익률에 체계적으로 영향을 미치는지를 실증적으로 다루었다. 분석에 사용된 주식수익률은 코스피수익률, 코스피200수익률, 코스닥수익률 등이고, 거시경제변수는 금리, 소비자 물가지수증가율, 산업생산지수증가율, 경기선행종합지수증가율, 월/미국달러환율증가율 등이다. 주식수익률은 한국거래소에서 공시하는 코스피 지수, 코스피200 지수, 코스닥 지수 등의 주가지수(월별 종가)를 이용하여 측정한 월별 주가지수수익률에 해당한다. 거시경제변수의 측정에 사용된 자료는 CD유통수익률(91일), 소비자 물가지수, 산업생산지수, 경기선행종합지수, 원/미국달러환율 등이다. 본 연구에 도입한 주요 분석방법은 회귀분석과 VAR(vector autoregression) 모형을 이용한 그랜저 인과관계검정이다. 본 연구의 주요 결과를 요약하면 다음과 같다. 첫째, 회귀모형을 이용한 분석결과, 금리, 산업생산지수증가율, 경기선행종합지수증가율, 월/미국달러환율증가율 등의 거시경제변수는 코스피수익률과 코스피200수익률에 각각 유의적인 영향을 미치는 것으로 나타났다. 그리고 코스닥수익률에 대해 유의한 영향을 미치는 변수로는 금리, 소비자물가지수증가율, 산업생산지수증가율, 월/미국달러환율증가율 등인 것으로 분석되었다. 둘째, 그랜저 인과관계검정을 이용한 분석결과, 특정 시차에 한정된 결과이긴 하지만 금리, 소비자물가지수증가율, 경기선행종합지수증가율 등이 공통적으로 코스피200수익률과 코스닥수익률의 원인변수가 되는 것으로 나타났다. 아울러 금리는 코스피수익률에 영향을 미치는 원인변수로서 유의함을 보였다. 본 연구의 결과는 우리나라의 주식시장에서 일부 거시경제변수가 주식수익률을 설명할 수 있는 유의적 변수, 즉 가격화 된 경제변수가 될 수 있음을 시사한다. 본 연구의 결과는 자본시장에 참여하고 있는 경영자와 투자자, 그리고 자본시장과 관련된 각 종 제도와 정책을 연구하는 연구자와 실무자들에게도 유용한 정보가 될 것으로 기대한다.
The movements of stock price has been a concern of the academics, investors, and practitioners. in recent years because stock price is viewed as a leading indicator of economic condition. The relation between macroeconomic variables and stock returns has been a major topic in finance. Several theories and empirical evidence alike have shown much detail on this subject of concern to economies. Literature such as Ross (1976) has provided a theoretical basis by which stocks can be valued and a sound theoretical foundation on which stock market movement may be attributed to the influences of the macroeconomic factors. There are many empirical studies which discuss the predictability of stock returns through macroeconomic variables related to economic activity. But the previous studies give different results due to differences between the macroeconomic factors used, the period covered, the research methodology employed and the countries examined. This study investigates the impact of the macroeconomic variables on stock returns in Korea during the period 2000. 2.~2016. 5. We used 3 stock returns and 5 macroeconomic variables for monthly data for our empirical analysis. The types of stock returns are KPR (KOSPI return), KP200R (KOSPI200 return), KDR (KOSDAQ return) which are measured by stock index of Korea Exchange. Macroeconomic variables include INT (the 91-day CD rate), INF (the growth rate of consumer price index), IIP(the growth rate of index of industrial production), CLI (the growth rate of composit leading index), ER (the growth rate of won/dollar exchange rete). We employed OLS regression analysis and Granger causality test based on VAR (vector autoregression) model. The results through the OLS regression as follows. First, INT (the 91-day CD rate), IIP (the growth rate of index of industrial production), CLI (the growth rate of composit leading index), ER (the growth rate of won/dollar exchange rete) have a significant impact on KPR (KOSPI return). Second, INT (the 91-day CD rate), IIP (the growth rate of index of industrial production), CLI (the growth rate of composit leading index), ER (the growth rate of won/dollar exchange rete) are also significant variables which influence KP200R (KOSPI200 return). Third, 5 macroeconomic variables have a significant impact on KDR (KOSDAQ return). We find the following results using Granger causality test. First, INT (the 91-day CD rate) granger cause KPR (KOSPI return) and CLI (the growth rate of composit leading index) also granger cause KPR (KOSPI return) while INF (the growth rate of consumer price index) and IIP (the growth rate of index of industrial production), ER (the growth rate of won/dollar exchange rete) does not granger cause KPR (KOSPI return). Second, INF (the growth rate of consumer price index) in addition to INT (the 91-day CD rate) and CLI (the growth rate of composit leading index) granger cause KP200R (KOSPI200 return). Third, macroeconomic variables such as INT, INF, CLI also granger cause KDR (KOSDAQ return). Forth, stock returns such as KPR, KP200R, and KDR granger cause some of macroeconomic variables. The findings of this study have a important implication. Some of macroeconomic variables contain the significant information to forecast stock market performance in Korea stock market. This implicates that the macroeconomic variables can be common factors having a systematical effect on the stock returns and economically significant or priced factors. Therefore, especially policymakers should try to maintain them at healthy level for long-term development of Korea stock market.