중국 원자재시장 유동성위험의 한국 주식수익률에 대한 영향 분석

This paper aims to analyze the effect of liquidity risk in China commodity futures markets on the Korea stock returns. The commodity futures markets of corn, gold, copper, and coal in China were selected as representative industrial raw material markets. China CSI 300 index futures settlement price and Korea KOSPI 200 index futures settlement price were used to get the stock returns. The test period is about 8 years from 2014 to 2021, and the data was collected on the daily base. Total observations are 1,885 daily trading data. The liquidity risk is calculated based on the illiquidity measure of Amihud (2002). The major findings are as follows. First, the liquidity risk in the China copper market seems to effect on the Korea stock returns negatively. It means that the investors who trade in Korea stock market may react sensitively to the trading information on the industrial metal markets in China. Second, there is a strong co-movement between Korea and China stock markets. This is an evidence supports previous studies that suggests the co-movement between stock markets of Korea and China has been more strengthened after the global economic crisis in 2008. Third, the liquidity risk of the Korea stock market has a significant negative effects on the China stock returns. This shows that China stock returns are affected by the liquidity shocks of the Korea stock market empirically.