주식수익률의 동조화에 관한 연구 : KOSPI 200 지수변경 사건을 중심으로

Classical finance theories assume that comovement in stock returns reflects the common variation of fundamental values. Although inclusion in major stock market indexes has no impact on fundamentals, previous studies show that inclusion in major indexes increases comovement between newly added stocks and index compositions. Therefore, we examine the phenomenon of comovement. Using 403 KOSPI 200 index change stocks from 2001 to 2013, we investigate not only comovement in stock returns but comovement in turnovers. Our major results are as follows. First, we find that the stocks including in the KOSPI 200 index experience an increase in their beta after 3 month of index changes. Second, inclusion stocks experience an increase in their beta and deletion stocks decrease market beta after 1 year of index changes. Third, all the robustness tests including matching firm methods, calender-time approaches and nonsynchronous trading effects support the comovement in stock returns after KOSPI 200 index changes. In conclusion, inclusion firms comove KOSPI 200 index compositions and deletion firms detach the existing index firms. These results are consistent with Barberis et al.(2005) findings and we can infer that comovement in stock returns occurs due to the friction- or sentiment-based views.