미ㆍ일 주식시장이 한국 주식시장에 미치는 상대적 영향력 분석

The Relative Influence of U.S. and Japanese Stock Markets on the Korean Stock Market

The paper measures the relative influence of U.S. and Japanese stock markets on the Korean stock market for 1992-2007 using Kalman Filter estimation methods. The estimation results of Haldane and Hall(1991) model show that the Korean stock price is progressively influenced by the Japanese stock price in comparison with the U.S. stock price. But this trend may be stopped since 2003 in which international stock prices begin to steadily soar. The estimation results are little changed, even though U.S. dollar indices or low-frequency data are used. The timevarying parameter estimation results also represent that the influence of U.S. and Japanese stock returns on Korean stock returns is increasing and volatile over the whole sample period. But the impact of Japanese stock returns becomes stronger than that of U.S. stock returns and their volatility is gradually reducing in recent years.