A Study on the Co-movement of Stock Returns Between Korean Digital Contents Industry Market and Foreign Market

디지털컨텐츠산업의 해외 주식시장 동조화 연구

  • Published : 2006.08.01

Abstract

This study examined the stock return co-movement among Korean digital contents industry, American NASDAQ, and Japanese NIKKEI225. This is to identify the reaction of Korean digital contents industry on the movement of foreign stock market. To investigate the co-movements, during the period of 1999 to 2005, daily logarithm difference returns of each stock market indices are tested by the methodology of Granger(1963, 1969)'s causality test. The positive influence from NASDAQ index to Korean digital contents industry index are found, but not vice versa. It means that the market value of firms in Korean digital contents industry affected by the movement of American NASDAQ market which composite with digital IT firms. However, the co-movements with NIKKEI225 did not found.

Keywords

Digital Contents Industry;Stock Returns;Co-movement;Firm Value