미국의 통화정책과 국내 주식 투자자의 반응

• 영문명: U.S. Monetary Policy and Investor Reactions: Korean Evidence
• 발행기관: 강원대학교 경영경제연구소
• 저자명: 박종호
• 간행물 정보: 『아태비즈니스연구』제13권 제4호, 135~149쪽, 전체 15쪽
• 주제분류: 인문학 > 문학
• 파일형태: PDF
• 발행일자: 2022.12.31

영문 초록

Purpose - The primary objective of this article is to investigate the impact of U.S. monetary policy on institutional / individual / foreign investor reactions in the Korean stock market. Design/methodology/approach - This study employs a high frequency event study methodology to identify U.S. monetary policy shocks and quantify the impact of identified shocks on investor reactions. The dependent variable in the regression model is net stock purchase, while the explanatory variables are U.S. monetary policy shocks. The model is estimated for the period 2000-2019, including 156 FOMC meetings. Findings - Foreign investors immediately sell stocks in response to contractionary U.S. monetary shocks. They do not, however, react to anticipated changes in monetary policy rates, confirming the rationality of foreign investors. Individual investors demonstrate the opposite response, indicating that a non-trivial proportion of individual investors are irrational. Research implications or Originality - This study adds to the current literature on the effect of U.S. monetary policy on the Korean stock market. This study demonstrates a heterogeneous response to U.S. monetary policy shocks, validating the rational investment behavior of foreign investors, while individual investors exhibit a certain degree of irrationality. Methodologically, this study adds to the literature by quantifying the impact of U.S. monetary policy employing a sharper identification method allowing a simple and consistent estimation.

목차

Ⅰ. 서론

Ⅱ. 선행연구의 검토

Ⅲ. 자료의 설명 및 통화정책 충격 식별

Ⅳ. 분석의 결과

Ⅴ. 결론 및 제언

References

키워드

FOMC Meeting Event Study U.S. Monetary Policy Foreign Investors Korean Stock Market