한국증권시장 산업별 포트폴리오에 대한 미국정보 전이효과 분석

We study an information spillover effect by US stock market upon Korean stock market. Previous papers on this topic usually focused on the relationship between two broad market indexes, say, KOSPI and DJIA. This paper includes as samples business size and industry sector portfolios to test the existence of both price change and volatility spillover across country stock markets. By extending the portfolios in the analysis, we expect to enhance the test power and identify portfolios with diverse responses to the information inflow from the New York stock exchange. The findings of this paper can be summarized as follows. First, we find strong daily information spillover effect of both price change and volatility across virtually all size and industry sector portfolios. However, for the daily returns, the explanatory power of the model, measured by R2, is rather low. Second, after dividing the daily return into two intradaily returns - night return and day return, we find both a strong significance on the information variables and a high explanatory power of the model for the night returns of all the sector portfolios. In contrast, for the day return, not only less number of sector portfolios have significant coefficients on the external information variable, but also the model explanatory power of every portfolio is of a trivial level. Therefore, for the day return, the significance of the information spillover is confined within a sense of statistical one, and the model cannot be construed to have any meaningful predictive power or economic significance. With almost no chance of exploiting the external information for excess profits in the daily trading of any sector portfolios, the hypothesis in the Korean stock market efficiency has been vindicated.