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Can Granular Hypothesis Be Applied in Korean Economy? : Granular Hypothesis의 한국 경제 적용 가능성에 대한 실증 연구

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dc.contributor.advisor김우진-
dc.contributor.author오준호-
dc.date.accessioned2017-07-14T05:12:03Z-
dc.date.available2017-07-14T05:12:03Z-
dc.date.issued2014-02-
dc.identifier.other000000018678-
dc.identifier.urihttps://hdl.handle.net/10371/124508-
dc.description학위논문 (석사)-- 서울대학교 대학원 : 경영학과, 2014. 2. 김우진.-
dc.description.abstractThis paper tests whether idiosyncratic shock to large firms can explain GDP fluctuation in Korea using stock return as well as fundamental variables. The results show that large firms idiosyncratic stock calculated by fundamental variables fails to account for GDP growth when I control for the business cycle and several crisis dummies. In contrast, idiosyncratic shock to large firms derived by the stock return shows robust effect on GDP growth rate. However, the effect does not propagate through the business cycle. This idea might be useful to account for the fluctuation of GDP using stock market information and propose a new perspective for idiosyncratic shock.-
dc.description.tableofcontentsContents

1. Introduction .......................................................... 1

2. Literature Review .................................................. 5

3. Data and Methodology .......................................... 7
3.1. Data ................................................................. 7
3.2. Methodology ..................................................... 9
3.2.1. Original Granular Residual ................................ 9
3.2.2. Granular Residual Derived by Stock Return ......... 12

4. Empirical Result ................................................... 13
4.1. Testing Original Granular Residual in Korea .......... 13
4.2. Granular Residual Derived by Stock Return ........... 15
4.3. Granular Residual and Crisis Dummy .................. 16
4.4. Granular Residual and Business Cycle ................ 18

5. Conclusion ......................................................... 22


Reference .............................................................. 23

국문초록 ................................................................ 25

Tables

Table 1 .................................................................. 26
Table 2 .................................................................. 27
Table 3 .................................................................. 28
Table 4 .................................................................. 29
Table 5 .................................................................. 30
Table 6 .................................................................. 31
Table 7 .................................................................. 32
Table 8 .................................................................. 33
Table 9 .................................................................. 34
Table 10 ................................................................ 35

Figures
Figure 1 ................................................................. 36
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dc.formatapplication/pdf-
dc.format.extent628429 bytes-
dc.format.mediumapplication/pdf-
dc.language.isoko-
dc.publisher서울대학교 대학원-
dc.subjectgranular hypothesis-
dc.subjectidiosyncratic shock-
dc.subjectfundamental value-
dc.subjectstock return-
dc.subject.ddc658-
dc.titleCan Granular Hypothesis Be Applied in Korean Economy?-
dc.title.alternativeGranular Hypothesis의 한국 경제 적용 가능성에 대한 실증 연구-
dc.typeThesis-
dc.description.degreeMaster-
dc.citation.pagesii, 36-
dc.contributor.affiliation경영대학 경영학과-
dc.date.awarded2014-02-
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