인구구조 변화가 주식시장에 미치는 영향에 관한 연구

Abstract

This study was designed for the purpose of investigating the impact of changes in demographic structure on the stock market amid the intensifying aging of populations in countries around the world. Recently, advanced countries are undergoing demographic changes centered on aging, which is emerging as an intractable problem in social structures. The aging of populations has rapidly increased with a time lag since the early 2000s, centering on major OECD member countries including Korea. This phenomenon is not expected to be temporary, but rather it may intensify and impact various areas across the entire fabric of society. In particular, the motivation for this study to focus on demographic change is in line with the special situation on the Korean population curve. From a demographic point of view, Korea is one of the youngest among OECD countries, but its low fertility rate is resulting in it becoming one of the fastest aging countries. It is evaluated as a country whose life expectancy is rapidly changing due to the rapid development of its social safety net. The rapid pace of aging of the population is expected to have a ripple effect not only on the real economy but also on the financial market. In other words, it will be possible to accelerate the withdrawal of household or individual holdings. An accelerated withdrawal of assets can have a significant impact on long-term stability by impacting the demand base of the financial market, such as supply and demand. Of course, not only Korea but also major OECD member countries either already have an aging population or are the process of developing one. Considering that major advanced countries, including Korea, account for a high proportion of the global economy, the impact on global financial markets and the investment environment is significant. Paying attention to this point, it is judged that it is an important process, both theoretically and practically, to examine how this affects the stock markets of OECD countries, including Korea, amid rapidly changing demographic structures. From the demand point of the stock market, the issue of an aging population is an important variable that affects the demand base. While most OECD member countries are aging, the elderly population is increasing and the absolute population is decreasing. This is accompanied by a decrease in the working-age population, indicating that we are in a period of demographic transition. According to the life cycle hypothesis, households or individuals prepare for unequal income and consumption smoothing in order to maintain a certain level of consumption. In the same vein, according to the portfolio composition theory by life cycle, this causes changes in the composition of holdings and risk aversion toward investment assets, which act as major factors in the composition of assets during the life cycle. As suggested by these hypotheses and theories, a decrease in demand for assets due to a decrease in population leads to a decrease in prices. In particular, it is expected that the demand base will decline and the price will not be supported due to an insufficient absolute population as baby boomers transition to the elderly generation. Ultimately, it can be said that the continuous increase in the elderly population, along with the decrease in the size of the support group that can purchase risky assets, has entered the process of negatively affecting the stock market. However, with the development of a social safety net, as the quality of household or individual life improved, the gap between social life expectancy and life expectancy widened. This can lead to a preliminary incentive to increase the holding period for risky assets and act as a factor that can delay the withdrawal time. In addition, free capital movement in an open economy without barriers between countries may be a factor that can mitigate or exacerbate the aging of the population. In this study, taking into consideration the complex and organic situation as described above, the purpose of this study was to investigate the relationship between the effects of demographic changes on the stock market. For empirical analysis, a research model was designed based on the life cycle hypothesis and the life cycle portfolio construction theory. An empirical analysis was conducted on the impact of an aging population on the stock market from a demand perspective. To this end, first, a multi-factor model of Chen, Roll & Ross (1986) was used to select a population structure variable that can reflect aging-centered demographic change as a key variable, and to determine the impact of actual demographic change. The economic variables based on the multi-factor model were set as control variables. In addition, we tried to examine the influence relationship with greater precision and depth by considering factors that could weaken or intensify the effects of population aging. Through this process, as implied by the asset price meltdown hypothesis, we tried to derive meaningful results by examining whether it results in abrupt stock market fluctuations. To this end, this study first controlled the quantitative issues suggested in previous studies and theoretically guided and verified the impact relationship using an appropriate method. Second, economic variables were used as control variables to examine the effects of actual demographic changes on the stock market. Third, as discussed above, the extension of life expectancy may act as a preliminary motivational incentive to offset the aging of the population. Therefore, the effect of these offsetting factors was considered and analyzed in a complex manner. Fourth, capital movement between countries was considered by replacing the unrealistic closed economy assumption with an open economy. Due to its volatility, capital movement between countries can weaken or strengthen the impact of an aging population. Therefore, we tried to determine the nature of its effect. Finally, we tried to forecast the stock price index by using future population projection data solely for Korea, which is part of a unique demographic structure. To achieve the purpose of this study, the target of analysis was set as 31 OECD member countries where time series data could be accumulated. The target period was set as 39 years, from 1980 to 2019. The dependent variable was set as a stock index for each country, and the aging index and the middle-aged index applied mutatis mutandis were input as variables that can capture changes in population structure centered on aging. In addition, in order to understand the impact relationship and the level of explanation due to the actual demographic change, based on the theoretical discussion, the inflation rate, long-term government bond yield and real effective exchange rate, net inflow of portfolio stocks, and housing price index were analyzed as control variables. As a result of analyzing the data, it was found that the aging index, one of the demographic variables, has a negative effect on the stock market. On the other hand, the middle age index was confirmed as a factor that secured statistical significance and had a positive effect in some models. Based on the portfolio composition theory by life cycle, the higher the age group, the greater the risk aversion tendency, which can lead to asset withdrawal. In addition, although the middle-aged generation, as a major consumer group, acts as a force supporting prices, it was found that a decline in prices cannot be stopped because the elderly population cannot mitigate the entire asset withdrawal due to a lack of absolute population. By inputting control variables, the explanatory power of actual demographic variables was found to be about 10%. However, based on this level of explanation, it was found that the risk of asset price collapse due to demographic change is limited. Next, we looked at how the population responds to aging through the interaction between demographic variables and life expectancy, and between portfolio stock inflows. First, the effect of extending life expectancy appears to be limited to offset the aging of the population. It was found to have a positive effect on the stock market, but statistical significance could not be confirmed. Even when capital movement was considered, only some models secured statistical significance and the volatility of capital movement between countries had a negative impact on the stock market. However, it is noteworthy that the influence of the aging index decreases slightly due to capital movement. Lastly, as a result of forecasting the stock market in Korea using future population projections, it is expected that the aging population will face a shock to the stock market due to the steep slope among OECD member countries. In particular, as the baby boom generation is incorporated into the elderly population and the absolute population of subsequent generations proves insufficient, if the asset price is not supported, the impact on the stock market is expected to be greater than that of other countries. The theoretical implications that can be suggested based on the analysis process and results of this study are as follows. First, a research model is induced to minimize quantitative analysis issues from a methodological point of view. Through a structured research model based on a theoretical model, the influence relationship on the stock market was verified. Second, subjective intervention on variables was excluded and standardized variables were used. The possibility of the progress level of aging itself as a threat factor was also assessed. Third, there is a risk of asset prices collapse due to an aging population. In order to more precisely examine the risks posed by aging, the influence relationship of demographic variables was identified, and the meaning was derived by taking into consideration and controlling for the economic environments between countries. Lastly, along with the effect of extending life expectancy, the economic effects of the relaxation of various financial regulations were considered in a complex way. It can be inferred that the aging of the population will not only be a temporary social phenomenon but will affect the entire economy. In other words, this means the expansion of the research area in terms of finance. In practice, from a mid-to long-term perspective it is expected that it is possible to offer a response strategy to prepare for aging populations. First, the possibility of withdrawal of risky assets exists due to the aging of the population and this is expected to lead to structural changes in the financial market. In order to respond to such structural changes, it will be necessary to create a stable demand base in the financial environment. Second, population aging is highly likely to continue, rather than being just a temporary phenomenon. Therefore, it is important to find policy alternatives for the stabilization of the economic infrastructure, along with national population policies to alleviate the impact of aging. Despite the aforementioned academic factors and practical implications, this study has the following limitations. First, this study considers economic aspects with a focus on demographic variables. However, since demographic change is a social phenomenon that appears as a complex result of several fields, it is necessary to approach this while taking these dynamics into consideration. Second, the impact of demographic changes is limited to stock markets. It is expected that more detailed research will be possible if the subject can be expanded to bond markets and indirect investment markets in the future. Finally, due to the limitations of data collection, it was not possible to consider various market economic environments. In the future, it is judged that in-depth research from various perspectives will be possible if diverse, objective and reliable national data are collected.