IT산업지수와 타 산업지수간의 선도지연관계에 관한 실증분석

Abstract

This article examines the lead-lag relationship between IT index and other industrial indicies and figure out the way to make portfolio strategy using results. The reason why we investigate this relationship is that the IT industry has been increasing more than other industries and affect macroeconomics more. This paper employs daily return of 9 industrial(sector) indices data from January 2, 2007 to August 14, 2014 totally 1,895 days. The methodology used in this paper is VAR(vector auto regressive) and Granger causality model. The major results are as follows; According to empirical test based on the Granger causality, there is a evidence that the IT index was leading other indices and the indices related with IT index in stock market(KOSPI) was leading KOSDAQ IT index. This result is different with our prediction we expected. We supposed that the size of IT index has been growing and become more important industry in Korean economy.