기준금리 변동이 주식수익률에 미치는 영향에 관한 연구

Abstract

Purpose : The purpose of this study is find out to what extent a change in the base rate affects stock returns, and thus the extent to which changes in the base rate affect stock returns for a certain period of time and before and after the announcement of the base rate change. Research design, data, methodology : The research method analyzed the effects of changes in the base rate, the level of the base rate, and increases/cuts on stock returns using stock indices for ±20 days centered on the date of change in the base rate from 2008 to the first half of 2022. Results : As a result of the study, the stock returns for the entire period the base rate change were -0.55% in Korea and -1.35% in the United States compared to the date of change. Korea showed 0.91% and –0.19% before and after base rate change, the US showed -1.57% and -1.14%, respectively. The daily stock returns for the entire period were -0.02% in Korea and -0.06% in the US, and the daily stock returns before and after the announcement of the base rate change were -0.06% and 0.03% in Korea, -0.01% and -0.02% in the United States, respectively. showed In Korea, the base rate of 0.75% had a low interest rate, but stock yields were negative. In the United States, the interest rates of 0.00% and 0.25% of the base rate were low. Conclusions : It can be seen that the information that affects the stock market starts to affect the stock price before the information announcement date and continues to affect the stock price for a certain period after the information announcement date.