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Choi, Su Jung
School of Business Administration
Research Interests
  • Behavioral Finance
  • Empirical Asset Pricing
  • Investments

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Stock Market and Social Mood : Evidence from Korea

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Title
Stock Market and Social Mood : Evidence from Korea
Author
Choi, Su Jung
Issue Date
2014-11
Publisher
한국파생상품학회
Citation
선물연구, v.22, no.4, pp.611 - 635
Abstract
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 information.
URI
https://scholarworks.unist.ac.kr/handle/201301/10421
URL
http://kafo.or.kr/new/gnu3/?doc=bbs/gnuboard.php&bo_table=download&wr_id=247
ISSN
1229-988x
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