미국, 한국, 베트남 주식시장 간의 정보이전에 관한 연구

In this paper, we analyzed the correlation between the US, Korea, and Vietnam stock markets before and after the outbreak of COVID-19. The daily closing price time series data of the representative stock market indices of each country, KOSPI Index (Korea), S&P500 Index (US), and VNINDEX Index (Vietnam) were calculated using the first log difference technique. To analyze the correlations in the stock markets of the three countries, Granger causality, impulse response function, and variance decomposition were used. Results show that the US market had a stronger influence on Korea and Vietnam after COVIC-19, while Korea is impact on Vietnam increased during the pandemic. The feedback effect in the Vietnamese market appears to be limited. In addition, the interconnectivity between the Korean and Vietnamese markets appears to have been strengthened through the US market. This study provides important implications for policy markers and investors in formulating risk management and portfolio diversification strategies in an increasingly interconnected financial system. However, this study has limited data time and only used representative market indices of each country as sample data, and did not consider various variables that affect the stock market, such as investor sentiment, exchange rates and interest rates, or international trade.