This paper explores the return comovement between Korean and U.S.
stock markets by investigating the existence of a possible spillover effect
using high frequency data. We employ a functional regression methodology
to scrutinize the moment dependence and the components of possible
spillover effects. We find that the mean, volatility, skewness, and kurtosis
spillover effects exist and the components of those effects have not changed
over time in 2002-2006. In sum, we conclude that the KOSPI and S&P 500
move together during the sample period. The conclusion, however, is
weakened once we modified the data by excluding the opening price of
KOSPI since we only find the volatility spillover effect during the same
period. Therefore, we can conclude that the opening price of Korean stock
market may reflect new information that occurred overnight in foreign
markets so that moment dependencies or moment spillover effects are
weakened between Korean and U.S. stock market.