글로벌 원자재가격 변화가 한국 금융시장에 미치는 영향

This paper investigates the impact of global commodity markets on Korea financial market. The commodity markets of oil, copper, and corn, as well as the financial markets of stocks, bonds, and currencies, are analyzed. The analysis period covers 1,575 trading days from January 4, 2017, to July 31, 2023. The main results are as follows: First, the co-movement between the commodity market and the financial market increases rapidly due to COVID-19 and the Russo-Russian War. Second, the average stock returns are unaffected by commodities returns. The average bond returns are positively influenced by commodities returns in the short term but are negatively influenced in the subsequent period. The average U.S. dollar returns are negatively influenced by commodities returns. Third, the volatility of the financial market is positively influenced by the commodity market in the short term but is negatively influenced for a relatively long period of time. Fourth, the direction and significance of the impact of commodity price changes on the average industry stock returns vary depending on the type of industry. The contribution of this paper is to reveal the time series patterns of connectedness between the global commodity markets and the Korea financial market using the VAR(1)-DCC-MGARCH(1,1) and Hong’s (2001) causality test.