디지털융복합연구 (Journal of Digital Convergence)

  • 제14권6호
  • /
  • Pages.157-165
  • /
  • 2016
  • /
  • 2713-6434(pISSN)
  • /
  • 2713-6442(eISSN)
한국디지털정책학회 (The Society of Digital Policy and Management)
권호 표지
DOI QR코드

DOI QR Code

해운선사 주가와 해상 운임지수의 영향관계 분석

Analysis of the Relationship Between Freight Index and Shipping Company's Stock Price Index

  • 김형호 (세한대학교 정보물류학과) ;
  • 성기덕 (인천대학교 동북아 물류대학원) ;
  • 전준우 (인천대학교 동북아 물류대학원) ;
  • 여기태 (인천대학교 동북아 물류대학원)
  • Kim, Hyung-Ho (Dept. of Information & Logistics of Sehan University) ;
  • Sung, Ki-Deok (Graduate school of Logistics, Incheon University) ;
  • Jeon, Jun-woo (Graduate school of Logistics, Incheon University) ;
  • Yeo, Gi-Tae (Graduate school of Logistics, Incheon University)
  • 투고 : 2016.04.27
  • 심사 : 2016.06.20
  • 발행 : 2016.06.28
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

본 연구의 목적은 해운실물경기 지수가 국내 해운선사 주가에 미치는 영향을 분석하는 것이다. 분석에 사용된 변수는 한국 H회사의 주가와 해운실물경기 지수인 BDI(Baltic Dry Index), CCFI(China Containerized Freight Index), HRCI(Howe Robinson Containership Index)다. 분석기간은 2012년부터 2015년이며, 해운선사 주가지수, BDI, CCFI, HRCI의 4년간의 주간 데이터를 활용하였다. VAR 모형을 이용하여 CCFI와 HRCI가 국내해운선사의 주가지수에 미치는 영향을 분석하였고, VECM 모형을이용하여 BDI가 국내해운선사의 주가지수에 미치는 영향을 분석하였다. VAR 모형 분석결과, CCFI, HRCI는 주가지수에 부(-)의 영향을 미치는 것으로 분석되었으며, VECM 모형 분석결과, BDI는 주가지수에 부(-)의 영향을 미치는 것으로 나타났다. 해운실물경기지수에 부의(-) 영향을 받은 국내 해운선사는 해운실물경기지수에 부의(-) 영향을 받은 국내 해운선사는 해운시황에 적절한 대응을 하지 못한 것을 의미한다. 따라서 국내 해운기업은 중장기적인 모니터링을 통해 해운시황에 대처하는 전략이 필요하다.

The purpose of this study was to analyze the effect of the shipping industry real economy index on the stock prices of domestic shipping companies. The parameters used in this analysis were the stock price of H Company in South Korea and shipping industry real economy indices including BDI, CCFI and HRCI. The period analysis was from 2012 to 2015. The weekly data for four years of the stock price index of shipping companies, BDI, CCFI, and HRCI were used. The effects of CCFI and HRCI on the stock price index of domestic shipping companies were analyzed using the VAR model, and the effects of BDI on the stock price index of domestic shipping companies were analyzed using the VECM model. The VAR model analysis results showed that CCFI and HRCI had negative effects on the stock price index, and the VECM model analysis results showed that BDI also had a negative effect on the stock price index.

키워드

참고문헌

  1. C. B. Lee, J. H. Noh, "An Empirical Study on Improving Competitiveness of Korean Shipping Industry", Journal of Korea Port Economic Association, Vol. 16, No. 3, pp259-278, 2010.
  2. D. B. Lim, "A Study on the relation between Oil Price and Stock Index", Journal of Korean Industrial Economic Association", Vol. 22, No. 5, pp.2421-2436, 2009.
  3. H. S. Kim, M. H. Jang, "Analysis of Asymmetric Long-run Equilibrium between Bunker Price and BDI(Baltic Dry-bulk Index)", Journal of Korea Port Economic Association, Vol. 28, No. 2, pp.63-79, 2013.
  4. H. S. Kim, Y. S. Oh, "Empirical Approaches to Testing the Relationship Between Stock Price and BDI", The Journal of the Korean Association of Shipping Studies, Vol. 28, No. 4, pp.687-702, 2012.
  5. I, S. Song, W.S. Jung, "Econometric Evidence", SAMYOUNGSA, 2002.
  6. J. I. Choi, "Convergence analysis about volatility of the stock markets before and after the currency crisis - With a focus on Normal distribution, kurtosis, skewness", Journal of Digital Convergence, Vol. 13, No. 8, pp.153-160, 2015.
  7. J. G. Lim, W.H. Kim, B. W. Go, and Y. S Choi, "Measures to Recover from the Current Recession and Prevent Repeated Crisis of the Korean Shipping Industry", Korea Maritime Institute, 2009.
  8. M. Y. Hong, Y. J. Shin, "The Relationship between Stock Price Index of Travel Industry and Macroeconomic Variables in Korea, Relationship between Stock Price Index of Travel Industry and Macroeconomic Variables in Korea", Daehan Journal of business, Vol. 24, No. 5, pp.2811-2826, 2009.
  9. R. K. Jeon, S. H. Lee, and J. J. Kim, "An Analysis of the Relationship between the Demand for Housing Finance and the Construction Investment in Buildings". Journal of the Architectural Institute of Korea, Vol. 25, No. 7, pp.271-278, 2009.
  10. S. H. Hwang, J. H. Choi, "Empirical analysis on the relationship between macroeconomic variables and stock prices using VECM model", The Korean Journal of Financial Studies, Vol. 12, No. 1, pp.183-213, 2006.
  11. S. K. Chung, S. K. Kim, "A Study on the Effect of Changes in Oil Price on Dry Bulk Freight Rates and Intercorrelations between Dry Bulk Freight Rates". Journal of Korea Port Economic Association, Vol. 27, No. 2, pp. 217-240, 2011.
  12. Y. H. Hong, E. S. Yim, "The Number of Travel Agency: A Newly Introduced Factor On the Airline Outbound Tourism Demand Through the Granger Causality Test". Korean Journal of Hotel Administration, Vol. 19, No. 2, pp.135-152, 2010.
  13. Y. K. Hur, K. S. Jang, S. J. Kim, and H. M. Kim, "The Granger Casuality Analysis between Prices and Trading Volume in the Housing Market -Focused on Apartment property markets in Seoul-", Housing Studies Review, Vol. 16, No. 4, pp.49-70, 2008.
  14. Damodar. N. G, Basic Econometrics Third Edition, McGraw-Hill Inc. 1995.
  15. Engle. R.F, Granger. C.W, "Co-integration and Error Correction: Representation, Estimation and Testing", Econometrica, Vol. 55, pp.251-276. 1987. https://doi.org/10.2307/1913236
  16. Engle. R.F, Yoo. B.S, "Forecasting and testing in co-integrated systems", Journal of Econometrics, Vol.35, pp.143-159. 1987. https://doi.org/10.1016/0304-4076(87)90085-6
  17. Granger. C. W, "Some recent development in a concept of causality", Journal of econometrics, Vol. 39, No, 2, pp.199-211. 1988. https://doi.org/10.1016/0304-4076(88)90045-0
  18. Johansen. S, Juselius. K, "Maximum Likelihood and Inference on Cointegration-with Applications to the Demand for Money", Oxford Bulletin of Economics and Statistics, Vol. 52, pp.69-221. 1990.
  19. Pesaran. H. H, Shin, Y, "Generalized impulse response analysis in linear multivariate models", Economics letters, Vol.58. No.1, pp.17-29. 1998. https://doi.org/10.1016/S0165-1765(97)00214-0
  20. "Korea Exchange", http://www.krx.co.kr
  21. "Korea Maritime Institute", http://www.kmi.re.kr