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This study investigates the information transmission mechanism in the international capital market by analyzing the temporal relationships among returns for the KOSPI 200 Index, NIKKEI 225 Index and Hang Seng Index, Straits Times Index, Kuala Lumpur Composite Index, FTSE 100 Index, S&P 500 Index. The results indicate S&P 500 Index has given a strong effect to the countries analyzed. The information transmission mechanism an among close countries doesn't show significantly consistent results. Singapore gives effect to Malaysia at 1% significant level and HongKong at 5% significant level. Korean and HongKong give significant effects each other at 1% level. However, there isn't any significantly consistent lead-lag relationship in price discovery between Korea and Japan. KOSPI 200 Index takes strong effect from S&P 500 Index, FTSE 100 index, Straits Times Index and Hang Seng Index successively at 1% significant level. And also, KOSPI 200 Index gives slightly effect to Hang Seng Index and Straits Times Index.