한국IT서비스학회지 (Journal of Information Technology Services)

한국IT서비스학회 (Korea Society of IT Services)
권호 표지
DOI QR코드

DOI QR Code

웹 뉴스의 양과 주가의 관계에 관한 연구

A Study on the Relation of Web News and Stock Price

  • 김상수 (한국과학기술원 경영대학 공공혁신 전자정부 연구센터) ;
  • 남달우 (한국과학기술원 경영대학) ;
  • 조현 (한국과학기술원 경영대학 테크노 경영 연구소) ;
  • 김성희 (한국과학기술원 경영대학)
  • 투고 : 2012.07.27
  • 심사 : 2012.09.17
  • 발행 : 2012.09.30
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

In the stock market, the investors rely on stock information to trade. Good information may stimulate buying, raising the stock prices and the bad information may result in selling, decreasing the stock prices. In terms of the relationship between information and stock prices, stock prices can be viewed as reaction of investors to all the information flowing into the market. The significant increase of web stock news volume is often associated with the significant changes of stock prices. When the web stock news volume for a firm increases significantly, the stock price movement is often oscillatory. This paper attempts to investigate the relationship between volumes of information from Korean web IT and stock prices in Korean stock market. This research shows that when the web stock news volume increases significantly, volatility, trading volumes and rate of returns are increase too. The results of the study provide us with the new clues to the microstructure of the stock market from the perspective of the web news.

키워드

참고문헌

  1. 김문현, "코스닥 IT기업의 개발비의 가치관련성", 한국IT서비스학회지, 제8권, 제3호(2009), pp.67-81.
  2. 남달우, 박진우, 김민경, 조현, 김성희, "인터넷 주식 게시판을 통한 집단지성과 주식시장과의 상관관계 연구", 인터넷전자상거래연구, 제12권, 제2호(2012), pp.149-164.
  3. Baig, T. and I. Goldfajn, Financial Market Contagion in the Asian Crisis, IMF Staff Paper, WP/98/155, 1998.
  4. Bank, M., M. Larch, and G. Peter, "Google search volume and its influence on liquidity and returns of German stocks", Finance Markets and Portfolio Management, Vol.25, No.3(2011), pp.239-264. https://doi.org/10.1007/s11408-011-0165-y
  5. Barberis, N., A. Shleifer, and R. Vishny, "A Model of Investor Sentiment", Journal of Financial Economics, Vol.49, No.3(1998), pp. 307-343. https://doi.org/10.1016/S0304-405X(98)00027-0
  6. Blume, L., D. Easley, and M. O'hara, "Market statistics and technical analysis : The Role of Volume", Journal of Finance, Vol.49, No.1(1994), pp.153-181. https://doi.org/10.1111/j.1540-6261.1994.tb04424.x
  7. Da, Z., J. Engelberg, and P. Gao, "In Search of Attention", The Journal of Finance, Vol. 66, No.5(2011), pp.1461-1499. https://doi.org/10.1111/j.1540-6261.2011.01679.x
  8. Daniel, K., D. Hirshleifer, and A. Subrahmanyam, "Investor Psychology and Security Market Under and Overreactions", Journal of Finance, Vol.53, No.6(1998), pp.1839-1886. https://doi.org/10.1111/0022-1082.00077
  9. Fama, E. F., "Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance, Vol.25, No.2(1970), pp.383- 417.
  10. Ganapolsky, E. and S. Schmukler, Crisis Management in Capital Markets : the Impacts of Argentine Policy during Tequila Effect, Working Paper, 1998,
  11. Hardouvelis, G., "Macroeconomic Information and Stock Prices", Journal of Economics and Business, Vol.39, No.2(1987), pp.131-140. https://doi.org/10.1016/0148-6195(87)90012-9
  12. Hong, H. and S. J. C., "A Unified Theory of Under-reaction, Momentum Trading, and Overreaction in Asset Markets", Journal of Finance, Vol.54, No.6(1999), pp.2143-2184. https://doi.org/10.1111/0022-1082.00184
  13. Jain, P. C. and G. Joh, "The dependence between hourly stock prices and trading volume", Journal of Financial and Quantitative Analysis, Vol.23, No.3(1988), pp.269-283. https://doi.org/10.2307/2331067
  14. Kahneman, D. and A. Tversky, "Prospect Theory : An Analysis of Decision under Risk", Econometrica, Vol.47, No.2(1979), pp. 263-292. https://doi.org/10.2307/1914185
  15. Kaminsky, G. and S. Schmukler, "What Triggers Market Jitters? A Chronicle of Asian Crisis", Journal of International Money and Finance, Vol.18, No.4(1999), pp.537-560. https://doi.org/10.1016/S0261-5606(99)00015-7
  16. Kretzmer, P., Macroeconomic Announcement, Stock Prices and Trading Volume, Working Paper, 1991.
  17. Lakonishok, J., "Past stock price changes and current trading volume", Journal of Portfolio Management, Vol.15, No.4(1989), pp. 18-24. https://doi.org/10.3905/jpm.1989.409223
  18. Liang, X., "Mining Associations between Web Stock News Volumes and Stock Prices", International Journal of Systems Science, Vol.37, No.13(2006), pp.919-930. https://doi.org/10.1080/00207720600891562
  19. Odean, T., "Are Investors reluctant to realize their losses?", Journal of Finance, Vol. 53, No.5(1998), pp.1775-1798. https://doi.org/10.1111/0022-1082.00072
  20. Preis, T., D. Reith, and H. E. Stanley, "Complex dynamics of our economic life of different scales : insights from search engine query data", Philosophical transaction of the royal society, Vol.368, No.1933(2010), pp.5707- 5719. https://doi.org/10.1098/rsta.2010.0284
  21. Rogalski, R., "The dependence of stock prices and volume", The review of economics and statistics, Vol.60, No.2(1978), pp.268- 274. https://doi.org/10.2307/1924980
  22. Ross, S. A., "Information and volatility : The no-arbitrage martingale approach to timing and resolution irrelevancy", Journal of Finance, Vol.44, No.1(1989), pp.1-18. https://doi.org/10.1111/j.1540-6261.1989.tb02401.x
  23. Shefrin, H. and M. Statman, "The Disposition to Sell Winners Too Early and Ride Losers Too Long : Theory and Evidence", Journal of Finance, Vol.40, No.3(1985), pp. 777-790. https://doi.org/10.1111/j.1540-6261.1985.tb05002.x
  24. Sun, Q. and W. Tong, "The Effect of U.S. Trade Deficit Announcements on the Stock Prices of U.S. and Japanese Automakers", Journal of Financial Research, Vol.23, No.1 (2000), pp.15-43. https://doi.org/10.1111/j.1475-6803.2000.tb00809.x
  25. Thaler, R. H., "Gambling with the House Money and Trying to Break Even : The Effects of Prior Outcomes on Risky Choice", Management Science, Vol.36, No.6(1990), pp.643-660. https://doi.org/10.1287/mnsc.36.6.643
  26. Wysocki, P. D., Cheap Talk on the Web : The Determinants of Postings on Stock Message Boards, Technical Report, University of Michigan Business School, 1999.