Fuzzy Mediation Analysis for KOSPI-Related Variables
Dae Jong Kim, Yoo Young Koo, Jin Hee Yoon · International Journal of Fuzzy Logic and Intelligent Systems · 2021
Stock prices and bond interest rates are inversely related.The current account plays the most important role in the rise of composite stock index.When the trade surplus increases, stock prices rise sharply.Conversely, when the exchange rate and government bond interest rates increase, the composite stock index decreases.The stock index is influenced by several economic variables, politics, the economy, and investment sentiment.In real situations, such financial variables are mostly fuzzy variables.For example, the Korea Composite Stock Price Index (KOSPI) is recorded based on the closing price.However, the daily KOSPI has many values, such as the open price, low price, and high price; therefore, if only the closing price is used for analysis, only partial information is.To analyze the relationship between KOSPIrelated variables, the KOSPI, stock deposits, government bond interest rates, and foreign security investment data are applied.We investigated the mediated relation of variables, known as mediation analysis.In particular, we implemented fuzzy mediation analysis owing to the ambiguity of given data.In the data analysis, we proposed several fuzzy mediation models using fuzzy transformed data.