미국 (비)거래소시장의 한국 (비)거래소시장으로의 정보이전효과 및 시장효율성에 관한 연구

This paper examines the hypothesis of market efficiency through the information spillover effects over price and volatility across Korean and US national & non-national stock exchanges by using daytime and overnight returns of S&P500, NASDAQ, KOSPI200 and KOSDAQ spot index data from January 3, 1997 to December 21, 2000. The main results are as follows. First, S&P500 daytime returns have a statistically significant influence on the subsequent overnight and daytime returns and volatilities of KOSPI200 index both before and after the 1997 Korean currency crisis period at 1 % level. We show this relationship persists much more strong after the crisis period. Second, We also find that NASDAQ daytime returns have a statistically significant strong effect over the overnight returns and volatilities of KOSDAQ only after the crisis period. But we could not find this relationship between NASDAQ and KOSDAQ daytime returns and volatilities. Third, before the 1997 Korean currency crisis, the influence from S&P500 to KOSDAQ index is not observed but after the crisis the information transmission effects from S&P500 daytime returns to KOSDAQ overnight returns and volatilities are much more strong at 1% statistically significant level. Forth, we also found that NASDAQ have an statistically significant influence on KOSPI200 after the Korean financial crisis but not before. The result is not observed between the daytime returns.