기준금리 조정이 주가에 미치는 영향

초록

This study investigates the effect of base rate adjustments on stock prices by applying eventstudy method using panel regression. And if there exists any significant effects on stock priceswe also examine any differences among them due to firm characteristics such as firm size andtrade value.Results show a statistically significant negative effect on the stock prices when base rateincreases and a positive effect when base rate decreases during base rate adjustment period. After base rate adjustments, there exist positive effects no matter of time period andadjustment's direction of either decrease or increase. Analyses considering firm characteristics show: (1) firm size doesn't affect stock price changesduring base rate increases but it does during base rate decreases for both short and mediumperiod of time after base rate adjustments. (2) During the medium period of time after theadjustments, the interaction between firm size and time dummy variable has a positive effect. (3)With consideration of trade value and trade ratio, the interaction between firm characteristics andbase rate changes has a positive effect no matter of time period, its direction of either decreaseor increase. Pure adjustment effect has a negative effect considering trade value, a negativeeffect when base rate increase considering trade ratio, and a positive effect with base ratedecrease. Considering foreign ownership, it affects only during the medium period of time afteradjustment. This study makes clear the importance of considering firm characteristics to evaluate the effectof base rate adjustments on stock price changes by showing differences in base rate adjustmenteffect on stock prices caused by firm-specific characteristics.

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