All Issue

2023 Vol.60, Issue 2 Preview Page

Research Paper

Impact of International Mineral Price on Korea Composite Stock Price Index Market Capitalization

국제 광물가격 변화가 KOSPI 시가총액에 미치는 영향 분석

Kangho Kim12
,
Jinsoo Kim1*
김 강호12
,
김 진수1*
1Department of Earth Resources and Environmental Engineering, Hanyang University, Seoul, Korea
2Korea Mine Rehabilitation and Mineral Resources Corporation (KOMIR), Wonju, Korea
1한양대학교 자원환경공학과
2한국광해광업공단
*Corresponding Author
30 April 2023. pp. 88-98
PDF XML Citation
Abstract

This study investigates market capitalization elasticity with respect to changes in mineral price by analyzing the relationship between the Korea Composite Stock Price Index market capitalization and the international prices of six major strategic minerals. Weekly data from the 1st week of 2009 to the 52nd week of 2022 were analyzed using the autoregressive distributed lag model. The model comprises market capitalization, mineral prices, exchange rate, money supply, and leading economic index variables with time lags. The results revealed that the changes in the prices of all six strategic minerals except bituminous coal had a positive effect on the market capitalization, while bituminous coal had no effect. The findings of this study support recent developments in the importance of strategic minerals in ensuring resource and economic security.

Keywords
Autoregressive distributed lag model
strategic minerals
mineral price
Korea Composite Stock Price Index
resource security

본 연구에서는 KOSPI 시가총액과 6대 전략광물의 국제가격 간의 관계를 분석하여 광물 가격 변동성에 따른 시가총액 탄력성을 규명하였다. 2009년 1주차부터 2022년 52주차까지의 국내 시가총액, 국제광물 가격, 원달러환율, 광의통화 및 경기선행지수 순환변동치를 변수로 구성하여 분석 모형을 구성하였으며, 변수별 시차가 반영된 자기회귀시차모형(ARDL)으로 분석을 수행하였다. 분석 결과, 국내 주식시장의 시가총액과 환율의 변화는 음의 영향, 통화량과 경기지수의 변화는 양의 영향, 6대 전략 광물 중 유연탄을 제외한 5개 광물은 양의 영향을 보였으며, 유연탄은 유의미한 영향을 미치지 않는 것으로 나타났다. 본 연구의 분석 결과는 자원안보와 경제안보 확보에 있어서 주요 광물자원 중요성이 높아지고 있는 최근의 상황을 뒷받침하는 결과라고 할 수 있다.

키워드
ARDL
전략광물
광물가격
KOSPI
자원안보
References
1
Acaravci, A., Ozturk, I., and Kandir, S.Y., 2012. Natural gas prices and stock prices: Evidence from EU15 countries, Economic Modeling, 29(5), p.1646-1654. 10.1016/j.econmod.2012.05.006
2
Asmy, M., Rohilina, W., Hassama, A., and Fouad, M., 2010. Effects of macroeconomic variables on stock prices in Malaysia: An approach of error correction model, The Global Journal of Finance and Economics, 7(2), p.149-168.
3
Camilleri, S.J., Scicluna, N., and Bai, Y., 2019. Do stock markets lead or lag macroeconomic variables? Evidence from select European countries. The North American Journal of Economics and Finance, 48, p.170-186. 10.1016/j.najef.2019.01.019
4
Choi, J.I. and Lee, O.D., 2014. Analysis of KOSPI·Apartment Prices in Seoul·HPPCI· CLI's Correlation and Precedence, Journal of Digital Convergence, 12(5), p.89-99. 10.14400/JDC.2014.12.5.89
5
Choi, K.H. and Yoon, S.M., 2021. Analysis on the Dependence Structure Between Crude Oil Price and Stock Price, Journal of Industrial Economics and Business, 34(3), p.541-562. 10.22558/jieb.2021.6.34.3.541
6
ECOS (Economic Statistics System), 2023.02.15., https://ecos.bok.or.kr/
7
Godfrey, L.G., 1978. Testing for higher order serial correlation in regression equations when the regressors include lagged dependent variables, Econometrica: Journal of the Econometric Society, 46(6), p.1303-1310. 10.2307/1913830
8
Hendry, D.F. and Richard, J.F., 1982. On the formulation of empirical models in dynamic econometrics, Journal of Econometrics, 20(1), p.3-33. 10.1016/0304-4076(82)90101-4
9
Hong, M.Y. and Shin, Y.J., 2011. The relationship between stock price index of travel industry and macroeconomic variables in korea, Korean Journal of Business Administration, 24(5), p.2811-2826.
10
Humpe, A. and Macmillan, P., 2009. Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, Applied Financial Economics, 19(2), p.111-119. 10.1080/09603100701748956
11
Hwang, S.U. and Choe, J.H., 2006. Empirical analysis of the relationship between macroeconomic variables and stock prices using the VECM model, The Korean Journal of Financial Studies, 12(1), p.183-213. (in Korea)
12
Hyde, S., 2007. The response of industry stock returns to market, exchange rate and interest rate risks, Managerial Finance, 33(9), p.693-709. 10.1108/03074350710776244
13
IEA, 2021a. World Energy Outlook 2021, Paris, France, p.383.
14
IEA, 2021b. The role of critical minerals in clean energy transitions, Paris, France, p.283.
15
IPCC, 2022. Climate Change 2022:Mitigation of Climate Change, IPCC Sixth Assessment Report, Geneva, Switzerland, p.1991.
16
Jang, J.W., 2006. Effects of changes in international energy prices on Korean stock market, MS Thesis, Seoul National University, Korea, p.76.
17
Jeon, J.H., Lee, S.L., and Lee, C.M., 2016. The Impact of Oil Price on Stock Index Returns in Korea: A Focus on the 2008 and 2014 Oil Price Shocks, Journal of International Trade & Commerce, 12(3), p.415-429. 10.16980/jitc.12.3.201606.415
18
Kam, H. and Shin, Y., 2017. The Impact of Macroeconomic Variables on Stock Returns in Korea, Korean Journal of Business Administration, 30(1), p.33-52. 10.18032/kaaba.2017.30.1.33
19
Kang, I., 2012. An Empirical Study on the Effect of International Crude Oil Price's Volatility on Korean Stock Price's Volatility, Korean Journal of Financial Engineering, 11(2), p.22-43. 10.35527/kfedoi.2012.11.2.002
20
KEB Hana Bank, 2023.02.15., https://www.kebhana.com/cont/mall/mall15/mall1503/index.jsp
21
Kim, S., 2021. Impact of the Changes in Oil Prices on Korean Stock Market Liquidity, Korean Energy Economic Review, 20(1), p.79-103.
22
Kim, S.H. and Byun, Y.T., 2012. The Impact of Macroeconomic Variables on Food and Beverage Stock Index, Food Service Industry Journal, 8(3), p.75-95. 10.22509/kfsa.2012.8.3.005
23
Koh, G.S., 2016. Market system changes and the relationship between stock prices and foreign exchange rates, Journal of the Korean Data Analysis Society, 18(6), p.3187-3201. (in Korean)
24
KOMIS, 2023.02.15., https://www.komis.or.kr/komis/main/userMain/main.do
25
KRX Market Data System, 2023.02.15., http://data.krx.co.kr/contents/MDC/MAIN/main/index.cmd
26
Kwiatkowski, D., Phillips, P.C., Schmidt, P., and Shin, Y., 1992. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?, Journal of econometrics, 54(1-3), p.159-178. 10.1016/0304-4076(92)90104-Y
27
Lee, H.J. and Ahn, J.O., 2010. A Study on the Relation between Foreign Exchange Rates and Stock Prices under Global Economic Crisis in Korea, Journal of Industrial Economics and Business, 23(6), p.3201-3222.
28
Lee, Y.J. and Yoon, S.M., 2022. Impact of Oil Price Shocks on Stock Prices by Industry, Environmental and Resource Economics Review, 31(2), p.233-260.
29
Ministry of Economy and Finance, 2020. 2050 Carbon neutral strategy of the republic of Korea, Sejong, Korea, p.131.
30
Ministry of Trade, Industry and Energy (MOTIE), 2007. The 3rd Basic Plan for Overseas Resources Development, Sejong, Korea, p.56. (in Korean)
31
Ministry of Trade, Industry and Energy (MOTIE), 2020. Basic plan for resource development, Sejong, Korea, p.32. (in Korean)
32
Ministry of Trade, Industry and Energy (MOTIE), 2023. Strategy of securing critical minerals, Sejong, Korea, p.13. (in Korean)
33
Pesaran, M.H. and Shin, Y., 1999. An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis, Strom, S.(Ed.), Econometrics and Economic Theory in the 20th Century: the Ragnar Frisch Centennial Symposium, Cambridge University Press, Cambridge, p.371-413. 10.1017/CCOL521633230.011
34
Pesaran, M.H., Shin, Y., and Smith, R.J., 2001. Bounds testing approaches to the analysis of level relationships, Journal of Applied Econometrics, 16, p.289-326. 10.1002/jae.616
35
Phillips, P.C. and Perron, P., 1988. Testing for a unit root in time series regression, Biometrika, 75(2), p.335-346. 10.1093/biomet/75.2.335
36
Raza, N., Shahzad, S.J.H., Tiwari, A.K., and Shahbaz, M., 2016. Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets, Resources Policy, 49, p.290-301. 10.1016/j.resourpol.2016.06.011
37
Sadorsky, P., 2014. Modeling volatility and correlations between emerging market stock prices and the prices of copper, oil and wheat, Energy Economics, 43, p.72-81. 10.1016/j.eneco.2014.02.014
38
Said, S.E. and Dickey, D.A., 1984. Testing for unit roots in autoregressive-moving average models of unknown order, Biometrika, 71(3), p.599-607. 10.1093/biomet/71.3.599
39
UNFCCC, 2023.01.17., https://unfccc.int/NDCREG
40
Yoon, I.H., 2016. Impact of Macroeconomic Indicators on Korea's Stock Markets, Regional Industry Review, 39(2), p.37-53.
41
Yoon, J.H. and Hwang, G.H., 2008. The Effect of Macroeconomic Factors on Korean Stock Prices, Journal of East and Central Asian Studies, 19(1), p.63-82.
Information
  • Publisher :The Korean Society of Mineral and Energy Resources Engineers
  • Publisher(Ko) :한국자원공학회
  • Journal Title :Journal of the Korean Society of Mineral and Energy Resources Engineers
  • Journal Title(Ko) :한국자원공학회지
  • Volume : 60
  • No :2
  • Pages :88-98
  • Received Date : 2023-03-02
  • Revised Date : 2023-04-03
  • Accepted Date : 2023-04-21
  • DOI :https://doi.org/10.32390/ksmer.2023.60.2.088
Journal Informaiton Journal of the Korean Society of Mineral and Energy Resources Engineers Journal of the Korean Society of Mineral and Energy Resources Engineers
Online Submission
  • NRF
  • KOFST
  • crossref crossmark
  • crossref cited-by
  • KCI 문헌 유사도 검사
  • orcid
  • open access
  • ccl
Journal Informaiton Journal Informaiton - close