미국주식시장에 대한 한국주식시장의 동조화 현상

목차

Ⅰ. 서 론

Ⅱ. 연구의 방법

Ⅲ. 연구의 결과
3.1 영향력분석
3.2. 거래전략분석

Ⅳ. 결 론

참고문헌
Abstract

본문내용

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The Linkage of Korea Stock Markets to U.S. Stock Markets
Kim, Hyung-Do*
This paper empirically investigates the linkage of Korea stock markets to U.S. stock markets. It finds a high correlation between stock returns for the New York Stock Exchange in the previous trading day and the Korea Stock Exchange in the current period while the performance in the New York Stock Exchange does not influence KOSDAQ returns. The results also show that the performance of NASDAQ stongly influences stock returns in both the Korea Stock Exchange and KOSDAQ, and that the highest correlation appears between NASDAQ and KOSDAQ. High correlations between the stock returns in U.S. markets and the open to close returns in Korea markets are a violation of the efficient market hypothesis. In trading simulation, the results demonstrate that next day market performance in Korea is predicted by the U.S. market and that trading strategies followed U.S. stock movements produce the excess profits in Korea stock markets.
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* Dong-Eui University, Department of Business Administration, Associate Professor
Key Words : linkage, Korea Stock Markets, U.S. Stock Markets, Korea Stock Exchange, New York Stock Exchange, NASDAQ, KOSDAQ

키워드

미국주식시장,   한국주식시장,   거래전략분석