We examine relationship between securities industry and market factors like directional nature, credit risk, volatility in Korea market. The financial crisis influenced relationship between securities industry and market factors. We measure KOSPI, KRW/USD foreign exchange for market directional nature, Sovereign Korea CDS for market credit risk, implied volatility for market volatility, The empirical findings of this paper are as follows. First, the study showed that the fluctuation rate of KOSPI is highly positive relation with securities industry in comparison with other market factors for the whole period, before and after the Lehman Brothers collapse. Second, regarding the fluctuation rate of Sovereign Korea CDS which had an inverse relationship with the securities industry during the whole period, analysis of the fluctuation rate of Sovereign Korea CDS for the before and after the Lehman Brothers collapse showed that it’s negative relation had increased since after the Lehman Brothers collapse. The result of the study showed that the main characteristic of financial crisis is the increase in credit risk.