글로벌 주식시장의 가격발견기능과 전이효과

Price Discovery and Spillover Effect of the Global Stock Market

The purpose of this paper is to examine the price discovery function and spillover effect between stock index and stock index futures in major world markets. By using DCC-GARCH model of Engle(2000), this paper studies the volatility spillovers effect between spot return and future return. The price discovery function of future turns out to be stronger than spot in Nasdaq100, Nikkei225, and Hangseng which means that future markets in general are more efficient than spot markets while the Kospi 200 futures market is not. The empirical result shows that the market has dynamic conditional correlation. The spillovers effects of U.S. stock markets appear to be the largest and it is smallest in the Korean stock market. Therefore, the U.S. stock market is relatively efficient whereas the Korean market is not. During a year period after Financial Crisis 2008, the spillovers indices showing volatility of spot and futures in the S&P500 and the Nasdaq100 decline but in Nikkei225 and Hangseng markets, these spillover indices rise. After the abolishment of the option buying account system, the spillovers effect between the Kospi200 index and index futures appears to increase, but the futures' effect on spot return appears to decrease.