부산대학교 도서관

Study on the exchange rate and interest rate exposure of KOSPI firmsJung Il ParkDepartment of Economics, The Graduate School, Pukyong National UniversityAbstract Since the Korean financial crisis, foreign exchange rates and interest rates largely have fluctuated. This study started on the prediction that the changes in foreign exchange rates and interest rates give different effects to the value of each company. It is predicted that generally foreign exchange rates have positive relations with corporate value, and that interest rates have negative relations with corporate value. It is a theoretical background and a practically accepted fact. But, in reality, something opposite to general prediction frequently occur. That is judged to be attributable to financial system changes like movement of financial capital. But, in event where a model is elaborated and the market effect is controled by KOSPI return rates, the microscopic information of the market is efficiently reflected when exchange exposure has a positive relation with export share, and interest exposure has a negative relation with debt ratio. On the basis of the decision, this work is intended to identify the exchange exposure and interest exposure of each company and analyze the effect factors of exchange exposure and interest exposure. For an analysis, among companies listed on KOSPI, the companies that had continuity from 1990 to 2011 were chosen, and weekly data about stock prices, exchange rates and interest rates were used. And, as effect factors, export share, debt rate, corporate size, growth opportunity, liquidity, dependence on foreign debt, and foreign investors' shares were used. OLS, GARCH and EGARCH analysis methods were used to investigate exchange exposure and interest exposure. A total of five models were chosen in consideration of in delay effect and changes in data attributes. And, to investigate the differences according to volatility of foreign exchange rate and interest rate, this work divided a period into the period before the Korean financial crisis and the period after that. In the meantime, for an analysis of effect factors, 1-STEP based System SUR method as well as 2-STEP method was performed. As a result, in the case of exchange exposure, its influence changed from a positive direction to a negative direction as time went by from the period before the Korean financial crisis to the period after the Korean financial crisis. It is judged that, even in the circumstance where financial system factors are controlled through KOSPI return rate, the influence exceeds the positive influence through object-system. In the case of interest exposure, its influence was negative both in the period before the Korean financial crisis and in the period after the crisis. It was found that each significant value of exchange exposure and interest exposure greatly increased after the Korean financial crisis. This means that, as volatility of exchange rates and interest rates increased, the influence of them grew in determining the stock price of each company. The result of research by industry revealed that the expected positive and negative relations were frequently found according to export share and debt rate by industry. But, there were some other cases, and there were no results uniformly applicable to the entire market. In the analysis by industry, it was expected that because electric and electronic industry and iron and steel industry are highly dependent on export, they would be greatly influenced by foreign exchange rates after the Korean financial crisis, during which volatility of exchange rates has become strong, but not change was found in the electric and electronic industry, whereas the iron and steel industry showed a large increase in actual significance ratio. The reason is inferred that the electric and electronic industry has more become multi-nationalized than the iron and steel industry so that it has relatively better perform exchange risk hedge. The results of an 2-STEP method based analysis on effect factors showed that the main effect factors on exchange exposure were growth opportunity, liquidity and foreign investors' shares, and that the main effect factor on interest exposure was corporate size. In the case of the influence of export share of exchange exposure and of debt ratio of interest exposure, there were no significant results in the period before the Korea financial crisis, but most models showed significant results in the period after the Korean financial crisis. This means that the market reflects microscopic information more efficiently in the period after the crisis than in the period before the crisis. The results of an System SUR method based analysis showed that most results were similar to the results of 2-STEP method. The difference was that, in the case of 2-STEP method, foreign investors' shares became negative influence in the period before the crisis, but, in the case of System SUR, no significant results were found. In addition, in the case of System SUR, it was found that export share had a significantly positive relation with exchange exposure in the periods both before and after the crisis. But, it was found that a coefficient in the period after the crisis became relatively larger, and that significance level become higher. This means that the market after the financial crisis reflects the information on the market more efficiently. This work conducted a comparison analysis on the changes in exchange exposure and interest exposure for each company's stock price, and effect factors of relevant exchange exposure and interest exposure that appeared before and after the Korean financial crisis, and then investigated characteristics by period. But, the limitation of this work is that it didn't reflect each company's hedge behavior for exchange risk and interest risk in the process of analysing exchange exposure and interest exposure. Keyword : exchange exposure, interest exposure, OLS, GARCH, EGARCH System SUR, Korean financial crisis.