êµ­ì œë¹„êµë¥¼ 통한 한․미 주식시장 동조화의 평가 - 한국금융연구원

92 金 融 硏 究 21권 1호The Evaluations and the International Comparisons of theIntegration with U.S. Stock MarketAbstractJong-In YoonIt is well - known that U.S. stock market has a considerable influence on Koreanstock market. But it does not seem that the long - term trend in Korean market is similarto that in U.S. market. We should know the difference between the long - term trendand the short - term cycle. Two stock markets may be integrated in the short - term, butnot in the long - term.This study divides inter - market return integration into the long - term integration andthe short - term integration. These concepts are based on the notion about the trend -cycle decomposition in the time series literature. The long - term integration is definedas the cointegration and the short - term integration as the Granger causality.The empirical evidences show that Korean stock indices are not cointegrated with theU.S. stock indices, but are Granger - caused by them. Also it is shown that it is notappropriate to adjust the stock indices by the exchange rate. We conclude that Koreanstock market is integrated in the short - term but not in the long - term with U.S. stockmarkets.This study also investigates the inter - market integration between the U.S. and theother countries (Asian 7 stock markets and European 6 stock markets). The results areas follows. After 2000 years, the stock markets in Japan, Hong Kong, and most ofEuropean countries are integrated in the long - term and in the short - term with the U.S.stock market. But those of the rest of Asian countries are integrated in the short - termbut not in the long - term with the U.S. markets.Keywords: Long - Term Market Integration, Short - Term Market Integration, Trend,Cycle, Cointegration, Granger CausalityJEL Classification: G12, C59