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한•미 간 주가변동의 상관관계 연구

신인석 / 함상문

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Abstract

In this paper, we study the relationship between the U.S. daily stock returns and the corresponding Korean returns. More specifically, we examine whether the previously realized U.S. stock returns would help predict the current Korean returns. We find that for close-to-close daily stock returns, the U.S. returns would help predict the Korean returns. However, for open-to-close stock returns, the U.S. intraday stock returns would not help predict the corresponding Korean returns. After distinguishing investors by their nationality and types, we then examine whether there is a relationship between investors’ net purchase of Korean stocks and the previous days’ U.S. stock returns. We find that the amount of international investors’ net purchase of Korean stocks today would vary significantly with the previous days’ U.S. stock returns. The Korean individual investors and the Korean investment trust companies, however, would follow the opposite investment pattern.

Issue Date
2002-12
Publisher
한국개발연구원
Citation
Journal of Economic Policy, v.24, no.2, pp.83 - 119, 2002
DOI
10.23895/kdijep.2002.24.2.85
Journal Title
Journal of Economic Policy
Start Page
83
End Page
119
ISSN
1225-9888
Language
Korean
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