By identifying the transmission channels of monetary policy, I examine the effect of Korea and U.S. monetary policy on Korean stock market. The results can be summarized as follows. First, on average, the effects of MPC announcement through transmission channels offset each other, resulting insignificant responses of stock returns on MPC days. Second, Korean stock market reacts more to decreases than to increases in policy rate, resulting in a biased average effect. Third, no change in policy rate in Korea reduces cash flow risk premium, and no change in U.S. policy rate raises discount rate risk premium. Fourth, the effect of the announcement is different by transmission channels after controlling the economic condition and the phase of business cycle. All these results imply that the reaction of Korean stock market on domestic monetary policy is underestimated in previous studies.