This paper examines volatility spillover effects from foreign exchange rate changes of major currencies to stock returns based on firm size in the KOSDAQ market. CGARCH model is used as a methodology, which can decompose volatility to permanent and transitory components. 5437 daily stock price are collected for research from 2001 to 2022. Index prices of small, middle and large firms are used for size based stock returns in the KOSDAQ market, whereas US dollar, Japanese yen, Euro, UK pound are used as major currencies. For the study of ability to predict mean of size based stock returns by foreign exchange rate changes of major currencies, mean of stock returns of large firms can be predicted by foreign exchange rate changes of US dollar only, while mean of stock returns of small and middle firms can be predicted by foreign exchange rate changes of both US dollar and Japanese yen. This is the opposite results that is expected, because large firms are more exposed to global economic environment changes than middle and small firms. For the analysis of volatility spillover effects from foreign exchange rate changes of major currencies to stock returns based on firm size in the KOSDAQ market. Volatility spillover effects from foreign exchange rate changes of US dollar, Japanese yen and UK pound to stock returns of large firms are significant. However, volatility spillover effects from foreign exchange rate changes of all four major currencies to stock returns of small and middle firms are not significant. The results indicate that the information flows from foreign exchange market to stocks of large firms, but not to stocks of middle and small firms in the KOSDAQ market.