미국 증권시장의 한국 증권시장에대한 정보이전효과에 관한 실증적 연구; 대칭적·비대칭적 정보이전효과

We investigate the international information transmission between the U.S. and Korean stock markets using daily return data: S&P500 and NASDAQ spot index as well as KOSPI 200 and KOSDAQ stock markets. We use MA(1)-GARCH(1,1)-M model and GJR-GARCH (1,1)-M model for the symmetric and asymmetric conditional volatility spillover effects respectively. The sample period covers from January 3, 1997 to December 21, 2000 with 2 sub- samples based on December 31, 1997. The main results of empircal tests are as follows; First, there is a strong evidence that conditional volatility spillovers in a Korean stock markets are much more increased when the bad news come to the U.S. stock markets. Second, we find that the changes in U.S. stock markets are well incorporated into the overnight returns than the daytime returns in Korean stock markets. A before and after IMF foreign currency crisis reveals that the impact of U.S. stock markets on Korean stock markets have increased substantially in the post crisis period, implying that national stock markets have grown more interdependence. Finally, we also find the asymmetric volatility spillover effects within the Korean stock markets.