KOSDAQ시장의 미국주가정보이전 효과

Recently, co-movements of stock index between Korea and U.S. major stock markets can be found easily because of increasing dependency of Korean economy on U.S. economy. Many researches on this theme are being performed constantly. We examined empirically the information impacts of U.S stock prices on the KOSDAQ employing contemporaneous correlation and Granger causality test. In the study of daily changes of KOSDAQ have almost no effect on the U.S. stock price but U.S. stock price movements lead the change of KOSDAQ. By this, we found the information impacts of U.S. stock prices on the KOSDAQ. The information impact is stronger in bullish period, but the correlation between KOSDAQ and S&P500 proved to be higher than the correlation between KOSDAQ and NASDAQ. which is opposite of the prior expectation that the latter correlation is higher than the former one. And regression analysis showed that the KOSDAQ was significantly influenced by the movement of S&P500 in previous day, explaining that the information impact of S&P500 on KOSDAQ lasts in short term of 1 day.