This paper dynamically analyzes the interrelationships among the price mechanisms in the foreign exchange, securities, and financial markets before and after capital market liberalization using a vector autoregressive (VAR) model. The analysis was conducted using daily data on the closing rate of return of the U.S. dollar exchange rate, the closing rate of return of the Korea Composite Stock Price Index (KOSPI), and the overnight call rate during the period from March 2, 1990 to December 26, 1991 (before capital market liberalization, when the market average exchange rate system was applied) and the period from January 3, 1992 to March 31, 1993 (after capital market liberalization). A simple analysis of exchange rate fluctuation trends found no evidence that exchange rate volatility intensified in the early stages of capital market liberalization. According to the Granger causality analysis among variables, there was no interrelationship in the price mechanisms between the foreign exchange market and the stock market before capital market liberalization, but after liberalization, the interrelationship between the two markets increased, indicating that the organic flow of information between the two markets was strengthened, while instability in one market could transmit to the other, increasing the possibility of amplified price volatility risk in the future. On the other hand, the interaction in price formation between the financial market and the foreign exchange and securities markets remained weak even after capital market liberalization, suggesting that the financial market was still more regulated compared to the other markets. These phenomena were also confirmed through variance decomposition and impulse response function analyses, although the feedback relationship between the foreign exchange market and the stock market was found to lose its influence after approximately two weeks. The implications of these results for firms are that, while allowing foreign investment in domestic stocks has enhanced the efficiency of information flows necessary for exchange rate and stock price formation, shocks in one market can propagate to other markets, increasing the potential for amplified instability in the future. Therefore, firms are required to establish and strengthen systems for managing various types of financial risk.