The impact of changes in domestic and international stock markets on domestic stock prices persists not only at the moment of change but also over subsequent time periods. To accurately track the daily fluctuations and adjustment processes of domestic stock prices, we introduced lagged relationships reflecting this reality into a statistical model explaining domestic stock market movements and analyzed the structural characteristics of the stock price fluctuation process separately for the Korea Stock Exchange (KSE) and the KOSDAQ market. We also calculated whether each domestic market exhibits greater responsiveness to changes in domestic or international market factors. The results revealed that the KSE market shows greater sensitivity to fluctuations in international factors such as the Dow Jones Index in both the short and long term, while the KOSDAQ market is more influenced by international markets such as the NASDAQ in the short term but by domestic market factors in the long term.