KDI Journal of Economic Policy (Dec 2002)

A Study of Correlations in Stock Returns and Volatility between the U.S. and Korea (Written in Korean)

  • 신, 인석,
  • 함, 상문

DOI
https://doi.org/10.23895/kdijep.2002.24.2.85
Journal volume & issue
Vol. 24, no. 2
pp. 85 – 119

Abstract

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In this paper, we study the relationship between the U.S. daily stock returns and the corresponding Korean returns. More specifically, we examine whether the previously realized U.S. stock returns would help predict the current Korean returns. We find that for close-to-close daily stock returns, the U.S. returns would help predict the Korean returns. However, for open-to-close stock returns, the U.S. intraday stock returns would not help predict the corresponding Korean returns. After distinguishing investors by their nationality and types, we then examine whether there is a relationship between investors’ net purchase of Korean stocks and the previous days’ U.S. stock returns. We find that the amount of international investors’ net purchase of Korean stocks today would vary significantly with the previous days’ U.S. stock returns. The Korean individual investors and the Korean investment trust companies, however, would follow the opposite investment pattern.