6 research outputs found
μ§μ κ°μ£Όλ¬Έν μμ₯μμ λ³λμ±μ΄ μ λμ±μ λ―ΈμΉλ μν₯μ κ΄ν μ€μ¦μ°κ΅¬ : νκ΅μ¦κΆκ±°λμμ μΌμ€κ±°λ λΆμ
νμλ
Όλ¬Έ(μμ¬)--μμΈλνκ΅ λνμ :κ²½μνκ³Ό κ²½μνμ 곡,2002.Maste
μ λ¬Όμμ₯μ μ²λΆν¨κ³Ό
Thesis(doctor`s)--μμΈλνκ΅ λνμ :κ²½μνκ³Ό,2007.Docto
Monetary Policy and the Stock Market: Intraday Transaction Data Analysis
λ³Έκ³ λ ν΅νμ μ±
λΉκ΅μ ν₯ν ν΅νμ μ±
λ°©ν₯κ³Ό κ΄λ ¨ν λμΈ λ°μΈ, μ¦ μ μ±
μκ·Έλμ λν΄ μ£Όμμμ₯μ μμ΅λ₯ , λ³λμ±, κ±°λλ(κ±°λκΈμ‘)μ΄ μ΄λ»κ² λ°μνλμ§λ₯Ό μ°λ¦¬λλΌ μ£Όμμμ₯μ μΌμ€κ±°λ(intraday transaction) μλ£λ₯Ό μ΄μ©νμ¬ λΆμνκ³ μλ€. μ£Όμμμ₯μ μ½κΈλ¦¬ λͺ©ν μ‘°μ λΏλ§ μλλΌ ν₯ν ν΅νμ μ±
λ°©ν₯μ μμ¬νλ λ°μΈμ λν΄μλ λ°μνμμΌλ©°, λ°ν μμ μ§μ Β·μ§νμ λ°μμ μ λκ° μ»Έλ€. μ΄ κ²°κ³Όλ μ£Όμμμ₯μ΄ ν΅νμ μ±
λ°©ν₯μ λν μμμ κ°κ²©νμ± λ° κ±°λννμ λ°μνλ λ± ν¨μ¨μ μΌλ‘ μμ§μ΄κ³ μμμ μλ―Ένλ κ²μ΄λ€. μ£Όμμμ₯μ λ³λμ±μ ν΅νμ μ±
λ΄μ€ λ°νμΌμ μΌλ₯ μ μΌλ‘ μμΉνμμΌλ μ λ‘μ μΈ ν΅νμ μ±
λ°νλ λ³λμ± νλλ₯Ό μνμν€λ μμΈμΌλ‘ μμ©νμλ€. μ΄λ ν΅νμ μ±
κ³Ό κ΄λ ¨ν λμΈλ°μΈμ μ λ‘ν ν¨μΌλ‘μ¨ μ΄μ λ°λ₯Έ μ£Όμμμ₯μ λ³λμ± νλλ₯Ό μ΅μνν μ μμμ μμ¬νλ€. κ±°λλ λΆμκ²°κ³Ό μΈκ΅μΈμ κ΅λ΄κΈ°κ΄ λ° κ°μΈκ³Όλ μμ΄ν ν΅νμ μ±
λ°μΈμ λν ν¬μλ°μ ννλ₯Ό 보μλ€. ννΈ κ°λ³μ’
λͺ©μ νΉμ±μ΄ μ£Όμμμ₯μ λ°μμ λ―ΈμΉλ μν₯μ λΆμν κ²°κ³Ό κ³ μν κΈ°μ
μΌμλ‘, κΈ°μ
κ·λͺ¨κ° μμμλ‘ λ³λμ± νλνμ΄ ν° κ²μΌλ‘ λνλ¬λ€.
This paper analyzes intraday transactions in the Korean stock market to investigate the impact of policy signals - statements of the authorities about the future direction of monetary policy - on returns, volatility and trading volume(trading value) in the stock market. The stock market responds not only to change of the overnight call target rate but also to pronouncements indicating the future monetary policy stance. The impact is largest just before and just after policy signals, which suggests that the stock market moves efficiently to incorporate its expectations of monetary policy in pricing and transaction behavior. Stock market volatility increases around the time of monetary policy announcements, yet regular announcements act as a factor making for reduced volatility. This result implies that stock market volatility can be reduced by making regular announcements. Foreign investors show different patterns in their trading response to monetary policy announcements to those of individual and domestic institutional investors. Finally, in relation to the impact of the characteristics of individual issues on the stock market, the riskier and the smaller a company is, the greater the degree of volatility of its stock price.2