한미일 주식시장의 동조에 관한 연구

This study investigates whether daily and intraday Korean stock price changes efficiently reflect the information contents in American and Japanese stock market changes using the daily and minute-by-minute return series from KOSPI200, KOSPI200 futures, S&P500 futures, Nekkei225, and Nekkei225 futures. This study utilizes VAR(vector autoregressive models) and employs the Granger-causality test, impulse response analysis, and the variance decomposition analysis. Unlikely other previous studies, I use the simultaneous minute-by-minute return series to analyze the integration across Korean, Japan, and American stock markets. From the Granger causality analysis, I find that S&P500 futures, Nekkei225, and Nekkei225 futures returns have significant predictive power on KOSPI200, KOSPI200 futures returns. And from impulse response analysis, I find that the impact of lagged S&P 500 futures returns is limited to the first five minutes of KOSPI200 and KOSPI200 futures. The empirical results show that Korean stock and futures prices changes significantly reflect the simultaneous changes in S&P500 futures, Nekkei225, and Nekkei225 futures returns after Asian financial crisis. The fact that the five minutes rate of return respond significantly to the changes in S&P500 futures means that the information contents of S&P500 futures changes are not fully reflected in the simultaneous trading. And this evidence suggests that the price information in S&P500 futures price is useful only by five minutes trading.