How does S&P 500 index affect Korean stocks?

S&P 500 지수는 한국의 주식에 어떻게 영향을 미치는가?

investigate whether overnight information could affect the close-to-open returns and open-to-close returns differently. S&P 500 index returns are used as overnight information. Firstly, we find that the close-to-open returns (Ct-1Ot) of Korean stocks are positively associated with yesterday S&P 500 index returns. On the contrary, the negative correlation appears between yesterday S&P 500 index returns and open-to-close returns (OtCt). The negative relation, as Park and Yi (2011) argue, is possibly due to the mispricing of investors. However, our findings are based on the prices of Korean equities, not KOSPI index returns. Secondly we investigate whether the close-to-open returns and open-to-close returns of Korean equities are different depending on the level of foreign investor ownership. As foreign investor ownership is increasing, the impact of S&P 500 index on close-to-open returns is enforced, whether it is positive or negative. Thirdly Stocks who do not have foreign investor also respond negatively to the returns of S&P 500 indexes during a daytime and positively during overnight. This relation can be understood by Barberis, Shleifer and Wurgler (2005), where argue that when investors price assets a common subset of information, news about one asset affects the other asset's prices; i.e. asset price co-move.