종합주가지수 서울지역아파트가격 전국주택매매가격지수 경기선행지수의상관관계와선행성분석 최정일 *, 이옥동 성결대학교경영대학 *, 성결대학교부동산학과 ** ** 요약주식시장에서종합주가지수를부동산시장에서서울지역아파트가격과전국주택매매가격지수를선정하여경기 선행지수와함께각지표들사이의상관관계를찾아보았다 또한각지표들사이의흐름을서로비교하여선행성이 성립되는지도살펴보았다본연구의목적은종합주가지수와서울지역아파트가격전국주택매매가격경기선행지수의 상관관계와선행성을분석해보는것이다 주식시장의종합주가지수나부동산시장을예측하기위해서는이에선행하 는지표를찾아그추이를먼저분석해보는것이다지난년월부터년월까지총년동안의 상승률은로나타났으며은서울아파트는는순으로높은상승률을보여주었다 서울아파트와의상관분석을실시한결과는상관계수인와서울아파트는상 관계수인와높은상관관계를보여주었다분석결과는주식시장및부동산시장과높은상관관계를보 여주고있어주식시장및부동산시장을예측하기위해서는 의흐름을먼저살펴보는지혜가필요해보인다 주제어 : 종합주가지수경기선행지수서울지역아파트가격전국주택매매가격지수상관관계 Abstract Correlation of KOSPI from stock market and Apartment Prices in Seoul HPPCI from real estate market has been found from this research. Furthermore, from the comparison of those indicators flows, certain precedence was found as well. The purpose of this research is to analyze correlation and precedence among KOSPI, Apartment price in Seoul, HPPCI and CLI. As for predicting KOSPI of stock market and real estate market, it is necessary to find out preceding indices and analyzing their progresses first. For 27 years from the January 1987 to December 213, KOSPI has been grown by 687%, while CLI showed 443%, Apartment of Seoul showed 391%, HPPCI showed 263% of growth rate in order. As the result of correlation analysis among Apartment of Seoul, CLI, KOSPI and HPPCI, KOSPI and HPPCI showed high correlation coefficient of.877, and Apartment of Seoul and CLI showed that of.956 which is even higher. Result from the analysis, CLI shows high correlation with stock and real estate market, it is a good option to watch how CLI flows to predict stock and real estate market. Key Words : KOSPI, Composite Leading Indicator, the Price of Apart in Seoul, HPPCI, Correlation Journal of Digital Convergence 89
자연채무에대한재검토 1. 서론 2. 선행연구 9 Journal of Digital Convergence 214 May; 12(5): 89-99
Review of the Theory of Natural Obligations 3. 자료및연구방법 3.1 자료수집 Journal of Digital Convergence 91
자연채무에대한재검토 3.2 연구방법 4. 실증분석 1,6 1,2 8 4 (period : 1987.1-213.12, 1987.1=1, unit : %) 4 35 3 25 2 15 1 4.1 기술통계 199 1995 2 25 21 5 199 1995 2 25 21 KOSPI Seoul Apt 5 28 4 24 3 2 2 16 1 12 199 1995 2 25 21 8 199 1995 2 25 21 CLI HPPCI [Figure 1] Fluctuations of KOSPI and Seoul_Apt, CLI, HPPCI 92 Journal of Digital Convergence 214 May; 12(5): 89-99
Review of the Theory of Natural Obligations (period : 1986.2-213.12, unit : %) [Figure 2] Monthly Changing rate of KOSPI and Seoul_Apt, CLI, HPPCI(12month M.A) (period : 1986.2-213.12, unit : %) [Figure 3] Comparative of Monthly Changing rate of KOSPI and Seoul_Apt(12month M.A) <Table 1> Comparative of Monthly Changing rate of KOSPI and Seoul_Apt(12month M.A) (unit : %) Journal of Digital Convergence 93
자연채무에대한재검토 (period : 1986.2-213.12, unit : %) [Figure 4] Comparative of Monthly Changing rate of KOSPI and CLI(12month M.A) <Table 2> The Elementary Statistic : Seoul Apt., CLI, KOSPI, HPPCI <Table 3> Analysis of Relation : Seoul Apt., CLI, KOSPI, HPPCI 4.2 상관관계 94 Journal of Digital Convergence 214 May; 12(5): 89-99
Review of the Theory of Natural Obligations <Table 5> Pairwise Granger Causality Tests <Table 4> Crossing Correlation Coefficient of KOSPI and Seoul_Apt, CLI, HPPCI 4.4 Vector Autoregression 분석 4.4.1 서울아파트 ( 종속변수 ) 가모델인경우 4.3 Granger 인과관계분석 4.4.2 CLI( 종속변수 ) 가모델인경우 Journal of Digital Convergence 95
자연채무에대한재검토 4.4.3 KOSPI( 종속변수 ) 가모델인경우 <Table 6> VAR 모형추정결과 4.4.4 HPPCI( 종속변수 ) 가모델인경우 4.4 회귀분석 96 Journal of Digital Convergence 214 May; 12(5): 89-99
Review of the Theory of Natural Obligations <Table 7> Dependent Variable : KOSPI KOSPI Residuals (period : 1987.1-213.12) SEOUL _APT R es iduals 15 15 1 1 5 5-5 -1-15 -5-2 199 199 5 2 2 5 21-1 1 99 1 995 2 25 21 CL I Re sidu a ls HPPCI R es idu als 6 6 4 4 2 2-2 -4-2 -6 199 199 5 2 2 5 21-4 1 99 1 995 2 25 21 (period : 1987.1-213.12) 1,6 1,2 [Figure 6] Residuals : KOSPI, Seoul_Apt, CLI, HPPCI 4 8 4 4.4 모형분석 2-2 -4 86 88 9 92 94 96 98 2 4 6 8 1 12 Residual Actual Fitted [Figure 5] KOSPI : Residual, Actual, Fitted (period : 1987.1-213.12) [Figure 7] Regularity Probability : Seoul_Apt, CLI, HPPCI center of KOSPI Journal of Digital Convergence 97
자연채무에대한재검토 LOG(KOSPI) by Season (period : 1987.1-213.12) LOG(SEOUL_APT) by Season 7.5 6. 7. 6.5 6. 5.6 5.2 5.5 5. 4.5 J an Feb Mar Apr May J un Jul Aug Sep Oct Nov Dec 4.8 4.4 J an Feb Mar Apr May J un Jul Aug Sep Oct Nov Dec LOG(CLI) by Season 6.4 6. 5.6 5.2 4.8 4.4 J an Feb Mar Apr May J un Jul Aug Sep Oct Nov Dec LOG(HPPCI) by Season 5.6 5.4 5.2 5. 4.8 4.6 4.4 J an Feb Mar Apr May J un Jul Aug Sep Oct Nov Dec Means by Season [Figure 8] Seasonal Distribution chart of Log(KOSPI), Log(Seoul_Apt), Log(CLI), Log(HPPCI) 4. 결론 REFERENCES 98 Journal of Digital Convergence 214 May; 12(5): 89-99
Review of the Theory of Natural Obligations 최정일 (Choi, Jeong Il) 이옥동 (Lee, Ok Dong) Journal of Digital Convergence 99