Stock Market and Social Mood : Evidence from Korea
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- Stock Market and Social Mood : Evidence from Korea
- Choi, Su Jung
- Issue Date
- 선물연구, v.22, no.4, pp.611 - 635
- This study provides empirical evidence on the existence of a mood effect in Korea Stock
Market. Given the assumptions that changes in the Consumer Expectation Index and the
numbers of suicides proxy for the social mood, I find that the aggregate stock market moves
with the changes of investor sentiment, on average. The relation between the KOSPI and
mood variables representing for investor sentiment is economically and statistically significant.
For example, a 10% increase of the CEI relative to the previous month leads to a
14.7% rise of the KOSPI. The magnitude of the mood effect is even larger on the small
cap stocks, especially in the KOSDAQ market. The contemporaneous changes in the KOSPI
affected by the changes of investor sentiment are mostly reversed in the next month,
suggesting that the mood effect is short-lived and seems to be unrelated to the fundamental
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