환율변동이 기업규모별 주식수익률에 미치는 변동성 전이효과

Volatility Spillover effects from Changes of Exchange Rate to Stock Returns Based on Firm Size

This paper examines volatility spillovers from foreign exchange rate changes to stock returns based on firm size in the Korean stock market. The results show that coefficients which are used to gauge the effect of past volatility surprise to exchange rate changes on the conditional variance of stock returns are not statistically significant in large firm stocks except for Euro. However the coefficients of spillover effect from foreign exchange rate changes to stock returns in middle firm stocks and small firm stocks are statistically significant for all major currencies. And that the coefficients of spillover effect in middle firms are four times bigger than those in small firms. This results suggest that large firm stocks are little affected by changes of foreign exchange rate, where as middle firm stocks and small firm stocks are affected by changes of foreign exchange rate.