목차

Abstract - 6 -
Chapter 1. Introduction - 7 -
Chapter 2. Korean Stock Market overview - 9 -
2.1 Brief History of the Korea stock market - 9 -
2.2 The 1997 crisis and the 2008 “sell Korea” phenomena - 10 -
2.3 Stock market Indices - 13 -
2.4 Statistics and performance of the KOSPI - 14 -
Figure 1: KOSPI Index. Source: Bank of Korea - 15 -
Table 1: KOSPI main statistics - 16 -
Chapter 3. Literature review - 17 -
Chapter 4. Econometric Model and Variables - 22 -
4.1 The foundations - 22 -
4.2 The econometric Model and the relevant variables - 23 -
4.3 Cointegration and Causality - 27 -
Chapter 5. Results - 31 -
5.1 Correlations - 31 -
Table 2: Correlations - 31 -
5.2 Unit root tests - 32 -
5.3 Cointegration results- 32 -
5.5 Granger Causality - 35 -
5.6 Structural Breaks and Volatility - 36 -
Chapter 6. Conclusion - 39 -
References - 41 -
Appendix - 43 -