This paper explores the return comovement between Korean and U.S.stock markets by investigating the existence of a possible spillover effectusing high frequency data. We employ a functional regression methodologyto scrutinize the moment dependence and the components of possiblespillover effects. We find that the mean, volatility, skewness, and kurtosisspillover effects exist and the components of those effects have not changedover time in 2002-2006. In sum, we conclude that the KOSPI and S&P 500move together during the sample period. The conclusion, however, isweakened once we modified the data by excluding the opening price ofKOSPI since we only find the volatility spillover effect during the sameperiod. Therefore, we can conclude that the opening price of Korean stockmarket may reflect new information that occurred overnight in foreignmarkets so that moment dependencies or moment spillover effects areweakened between Korean and U.S. stock market.