한국과 아세안 국가간 주식시장 동조화 현상에 관한 연구

Abstract

This study examines the stock market co-movement between Korea and ASEAN countries, following the implementation of the Korea-ASEAN Free Trade Agreement (FTA) for 10 years. Based on the analyses on returns coupling between the Korea’s stock market index and six ASEAN countries’ stock market indices, we find that the Korean stock market index has a reciprocal relationship with those of Malaysia, Thailand and the Philippines. However it Granger causes the Vietnam stock index, while it does not Granger cause those of Laos and Cambodia. We also reveal that the shock on the Korea stock market has a positive effect on the stock markets of Malaysia, Thailand, the Philippines and Vietnam for two days based on impulse response function analyses. In addition, the KOSPI is observed to explain more than 20% of Thai, Malaysian and Filipino stock market returns whereas these countries’ index returns describe only less than 4% of the KOSPI’s. Consequently, we conclude that the Korean stock market influences the ASEAN stock markets. In robust tests evaluating whether the co-movement of returns in different stock markets is a popular trend, the ASEAN countries’ stock market returns are more influenced by the KOSPI than by the Nikkei 225 of Japan’s stock market index.