Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
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An Analysis of the Interrelationships between the Domestic and Foreign Stock Market Variations over the Depressed Market Period

주가의 전반적 하락기 국내외 증시 변동간의 연관관계 분석

  • Published : 2003.03.01
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Abstract

This study Investigates the short and long-run dynamic relationships between the domestic and U.S. stock markets for the period of declining stock prices. It Is well known that the domestic stock market variations are largely caused by the U.S. stock market movements. Multivariate causal tty test Is utilized to examine the lead-lag relationships among four stock prices of KOSPI and KOSDAQ In the domestic part and DOWJONES and NASDAQ In the U.S. part. When the stock prices tend to decrease In the long run, It Is found that both KOSPI and KOSDAQ have closer relations with NASDAQ than DOWJONES. When both of domestic stock markets are severely fluctuate, bidirectional causal relationships appear to exist between NASDAQ and each of KOSPI and KOSDAQ. On the other hand. when the domestic stock markets are relatively stable, unidirectional causality Is found to exist between NASDAQ and each of KOSPI and KOSDAQ. which is explicitly validated by the analysis of variance decomposition.

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