earticle

영어

This paper uses a multivariate VAR-GARCH model to analyze the relationship between financial markets of Korea and China. In the foreign exchange market, the won/dollar has a statistically significant effect on the yuan/dollar, but the yuan/dollar has a marginal effect on the won/dollar at the 10% significance level. The yuan/dollar, however, has no effect on the won/dollar if we divide the sample period before and after COVID-19. In particular, during the post COVID-19 which is a period of contractionary monetary policy, the exchange rates of the two countries does not affect each other at all. This is probably because Korea and China implement opposite monetary policies during post COVID-19 period. The Korean and Chinese stock markets influence each other before COVID-19, but after COVID-19, the link between the two markets disappears. The stock market crash caused by COVID-19 is cited as the cause. The ARCH coefficient, which represents the impact of external shocks, increases significantly in both Korea and China due to the COVID-19. It turns out that the correlation between the foreign exchange markets of Korea and China is not very high, and the stock markets of the two countries do not form a close relationship either.