통화정책과 주식시장:일중거래자료 분석
Monetary Policy and the Stock Market: Intraday Transaction Data Analysis
0
조회
0
다운로드
4
인용
0
참고문헌
키워드
초록
본고는 통화정책 당국의 향후 통화정책 방향과 관련한 대외 발언, 즉 정책 시그널에 대해 주식시장의 수익률, 변동성, 거래량(거래금액)이 어떻게 반응하는지를 우리나라 주식시장의 일중거래(intraday transaction) 자료를 이용하여 분석하고 있다. 주식시장은 콜금리 목표 조정뿐만 아니라 향후 통화정책 방향을 시사하는 발언에 대해서도 반응하였으며, 발표 시점 직전·직후에 반응의 정도가 컸다. 이 결과는 주식시장이 통화정책 방향에 대한 예상을 가격형성 및 거래행태에 반영하는 등 효율적으로 움직이고 있음을 의미하는 것이다. 주식시장의 변동성은 통화정책 뉴스 발표일에 일률적으로 상승하였으나 정례적인 통화정책 발표는 변동성 확대를 완화시키는 요인으로 작용하였다. 이는 통화정책과 관련한 대외발언을 정례화 함으로써 이에 따른 주식시장의 변동성 확대를 최소화할 수 있음을 시사한다. 거래량 분석결과 외국인은 국내기관 및 개인과는 상이한 통화정책 발언에 대한 투자반응 행태를 보였다. 한편 개별종목의 특성이 주식시장의 반응에 미치는 영향을 분석한 결과 고위험 기업일수록, 기업규모가 작을수록 변동성 확대폭이 큰 것으로 나타났다.
Abstract
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.
참고문헌 (24)
- "통화정책 신호효과의 유효성", pp.1~28 (2002)
- "통화정책 뉴스가 주가에 미치는 영향", (140), pp.1~28 (2002)
- "통화정책 발언과 금융시장의 반응", 11(4), pp.1~43 (2005)
- "Micro effects of macro announcements Real-time price discovery in foreign exchange", pp.38~62 (2003)
- "What explains the stock market's reaction to Federal Reserve policy?", pp.1221~1257 (2005)
- "JPre-announcement effects, news effects, and volatility: Monetary policy and the stock marke", pp.133~151 (2003)
- "Discount rate changes, stock market returns, volatility, and trading volume: Evidence from intraday data and implications for market efficiency", pp.897~924 (1999)
- "Journal of Political Economy 71", pp.607~636 (1973)
- "The asymmetric effects of political pressures on US monetary policy", pp.471~493 (1997)
- "The determinants of Federal Reserve policy actions Journal of Macroeconomics 24", pp.413~428 (2002)
- "Open mouth operations", pp.489~516 (2000)
- "Macroeconomic news and bond market volatility", pp.315~337 (1998)
- "Central bank talk: Does it matter and why" (2003), Board of Governors of the Federal Reserve System
- "Monetary policy surprises and interest rates:Evidence from the Fed funds futures market", pp.315~337 (2001)
- "Is the European Central Bank (and the United States Federal Reserve) predictable" (2002), European Central Bank
- "The impact of changes in FOMC disclosure practices on the transparency of monetary policy : Are markets and the FOMC better synched", pp.1~9 (2003)
- "Measuring the reaction of monetary policy to the stock market", pp.639~669 (2003)
- "The impact of monetary policy on asset prices", pp.1553~1575 (2004)
- "Does the Federal Reserve affect asset prices", (19), pp.1199~1222 (1995)
- "On stock market returns and monetary policy", 52(52), pp.635~654 (1997)
- "The Effect of changes in the Federal Funds rate target on stock prices in the 1970s", pp.13~20 (1994)
- "A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity", 48, pp.817~838 (1980)
- "The Greenspan effect on equity markets An intraday examination of US monetary policy announcements" (2005)
- "The Greenspan effect on equity markets An intraday examination of US monetary policy announcements" (2005)