재무관리연구 (The Korean Journal of Financial Management)
- 제23권2호
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- Pages.143-170
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- 2006
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- 1225-0759(pISSN)
$1980{\sim}2004$ 년 동안의 증시부양정책 및 증시규제정책의 실효성
Effectiveness of Securities Market Plans, $1980{\sim}2004$
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Lee, Jae-Ha
(SKK GSB, Sungkyunkwan University) ;
- Hahn, Deok-Hee (National Pension Service Research Institute)
- 발행 : 2006.12.31
초록
본 연구는
We explore how stock returns and volatility have been impacted by securities market stimulating and controlling plans during the 1980-2004 period, using return analysis, event study, and BFL tests. First, we examine effectiveness of the stimulating plans for a depressed market and the controlling plans for an overheated market with respect to different firm sizes and industries as well as the whole market. KOSPI, large-sized, finance, and manufacturing company stock prices significantly rise following stimulating plans, implying that the plans are quite effective. Controlling plans also seem effective as stock prices stop rising and tend to decline following the plans. Second, we test whether securities market plans have any further impact with respect to fun sizes and industries in addition to the impact on the entire market. Only large-sized stocks show additional response to stimulating plans, while small-sized, electrical-electronic equipment, distribution, and manufacturing industries are further impacted by controlling plans. Third, the results of BFL tests show that volatility does not change around the announcement dates of stimulating and controlling plans. It appears that securities market plans have no impact on volatility. Only stock returns respond to the plans.
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