242 0

FOMC의 통화정책방향 발표일에 대한 한국 주식시장의 반응 연구

Title
FOMC의 통화정책방향 발표일에 대한 한국 주식시장의 반응 연구
Other Titles
Reaction of Korean Stock Market over the FOMC cycle
Author
홍다혜
Alternative Author(s)
Hong, Da Hae
Advisor(s)
오지열
Issue Date
2017-08
Publisher
한양대학교
Degree
Master
Abstract
We research that since 2000 the Korea equity premium shows a bi-weekly pattern over the FOMC cycle time. The equity premium, the 5-days cumulative excess returns on KOSPI stocks and KOSPI index, is earned in weeks 0, 2 and 4 in FOMC cycle time (with week 0 starting the day before a scheduled FOMC announcement day) and the high beta stocks have strong those phenomenon. Also, we show that those patterns are not shown on BOK commitment days but announcement days. The bi-weekly pattern of risk premium is likely to reflect news coming from the Federal Reserve and BOK. Also, we find that the foreign investors seem like buy more stocks than the institution investors. Finally, we run a regression Fama-French 3 factor model on the average excess return for verifying the alpha, the result is that the Fama-French alpha can explain the average excess return on week 2 and 4 in FOMC cycle time. We find evidence to bi-weekly pattern over FOMC cycle time from (1) Risk-based explanation, (2) Public information releases and public speeches be Federal Reserve officials, (3) Information processing and decision making from the Fed tend to be bi-weekly in FOMC cycle time.
URI
http://hdl.handle.net/20.500.11754/33147http://hanyang.dcollection.net/common/orgView/200000430964
Appears in Collections:
GRADUATE SCHOOL[S](대학원) > STRATEGIC MANAGEMENT(전략경영학과) > Theses (Ph.D.)
Files in This Item:
There are no files associated with this item.
Export
RIS (EndNote)
XLS (Excel)
XML


qrcode

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

BROWSE