This study focused on the Korea ETF which is listed and traded in NYSE (New York stock exchange) and analyzed empirically the price discovery effect of NYSE Korea ETF on the Korean stock market. There was almost no related research even though the Korea ETF listed in NYSE did not only show high correlation with the Korean stock market but also was often used as a predictive tool of the Korean stock market by investors.
The significance of this study is in conducting a price discovery analysis on the Korea ETF traded in NYSE by using sample data of ‘iShares MSCI South Korea Capped (symbol: EWY)' of the most abundant liquidity among Korea ETF traded in NYSE. Also, the Korea ETF traded at in Korean nighttime is the spot trading, but since the KOSPI200 nighttime futures are the derivatives trading, there is an implication that the price discovery effect between spot market and derivatives market can be compared by comparing each price discovery effect.
