• Journal of East Asia Management
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• 제3권1호
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• pp.41-55
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• 2022

This study investigates whether foreign investors' behavior is involved in firm-specific investor sentiment. Because the mixed role of foreign investors on investor sentiment formation seems to exist in the Korean stock market, it needs to examine the moderate or incremental effect of foreign investors on the stock price crash risk which is due to investor sentiment. The analysis results using Korea Stock Exchanges - listed firms for the period of 2011-2019 show the increased future stock price crash risk which is attributable to high investor sentiment is mitigated for firms with the high foreign ownership, indicating the moderate effect. This study expands the literature on the foreign investors' behavior in the Korean stock market, by showing foreign investors are not involved in firm-specific investor sentiment, which improves market's efficiency in the Korean stock market. Also, the paper is valuable to the academic and practice field in that the findings shed light on the foreign investors' mitigating role in stock price crashes in the behavioral finance perspective.

• 유통과학연구
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• 제20권9호
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• pp.83-95
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• 2022

Purpose: This study aims to explore an ability to time market-wide investor sentiment of mutual fund managers in an emerging market. Research design, data, and methodology: Based on data of Thai mutual fund market over the period of 2000-2019, our sample includes 283 equity funds, consisting of 204 bank-related funds and 79 nonbank-related funds. We perform our regression analyses at the aggregate and portfolio levels. Results: Under the non-normal distribution of return, we find different behaviors between the best- and worst-performing funds in an ability to time market-wide investor sentiment in Thailand, which is dissimilar to the findings in the U.S. Bottom fund managers act as sentiment hedgers, who decrease (increase) an exposure of investment portfolios when the investor sentiment is high (low). Oppositely, top fund managers are likely to chase investor sentiment. Conclusion: We find that only the worst-performing fund managers, especially for bank-related funds are able to time the market-wide investor sentiment. An advantage of gaining information from their bank's clients is a key success. A competition in the mutual fund industry, an ability to predict fundamentals, and financial literacy are possible reasons to explain the main findings found in this study.

• 산업융합연구
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• 제20권11호
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• pp.75-83
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• 2022

본 연구는 투자자 심리와 유동성이 우리나라 주식시장에서 모멘텀현상을 설명하는지와 자산가격결정모형에 대한 위험 요소인지를 분석하는 것이다. 실증분석은 2000~2021년 기간 동안 유가증권시장에 상장된 비금융기업의 월별 수익률을 사용하였다. 분석 결과 첫째, 우리나라의 경우 모멘텀 효과가 존재하는 것으로 나타났다. 이는 기존 연구와 같은 결과로 2000년 이후 우리나라 주식시장에서 모멘텀효과가 일반적인 현상으로 받아들여지고 있다. 둘째, 투자자 심리를 기준으로 구성된 포트폴리오를 보면 투자자의 심리가 모멘텀에 영향을 미치고 있다. 특히 투자자 심리가 부정적일 때 승자포트폴리오의 수익률이 높게 나타나고 있다. 셋째, 유동성을 바탕으로 분석한 결과 모멘텀효과는 사라지고 반전효과가 나타난다. 넷째, 투자자 심리와 유동성이 모멘텀효과에 영향을 주는 것으로 나타났다. 투자자 심리가 부정적이고, 비유동적인 주식집단에서 모멘텀효과가 강하게 보이는 결과이다. 다섯째, 주식수익률에 각 요인이 주는 영향을 분석해 본 결과, 투자자의 심리와 유동성 요인 모두가 수익률에 상당한 영향을 미치는 것으로 나타났다. 추정된 결과는 Carhart 4요인 모형에 이 두 요소를 포함하면 모형의 예측력이 상당히 증가한다는 증거를 제공한다. 따라서 투자자 심리요인과 유동성 요인이 주식수익률결정에 중요한 요인이라 할 수 있다.

• The Journal of Asian Finance, Economics and Business
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• 제8권3호
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• pp.61-67
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• 2021

The covid-19 pandemic scenario caused the most extensive economic shocks the world has experienced in decades. Maintaining financial performance and economic stability is essential during the pandemic period. In these conditions, where movement is severely restricted, media consumption is considered to be increasing. The social media platform is one of the media online used by the public as a source of information and also expressing their sentiment, including individual investors in the capital market as social media users. Twitter is one of the social media microblogging platforms used by individual investors to share their opinion and get information. This study aims to determine whether microblogging sentiment investors can predict the capital market during pandemics. To analyze microblogging sentiment investors, we classified sentiment using the phyton text mining algorithm and Naïve Bayesian text classification into level positive, negative, and neutral from November 2019 to November 2020. This study was on 68 listed companies on the Indonesia stock exchange. A Vector Autoregression and Impulse Response is applied to capture short and long-term impacts along with a causal relationship. We found that microblogging sentiment investor has a significant impact on stock returns and volatility and vice-versa. Also, the response due to shocks is convergent, and microblogging investors in Indonesia are categorized as a "news-watcher" investor.

• 한국항만경제학회지
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• 제37권2호
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• pp.119-131
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• 2021

에너지는 경제활동과 사람들의 삶에 있어서 필수적인 요소이고 다양한 산업에서 활용하고 있는 중요한 자원이며 상품 시장의 금융화로 인해 원유가 다른 자산과 동일한 자산으로 변함으로써 그 중요성이 커지고 있다. 이에 따라 에너지 가격과 투자 심리간의 상관관계를 분석한 연구들은 대부분 경제적 요인과 투기를 통해 투자 심리가 유가에 영향을 미친다고 설명하고 있다. 본 연구에서는 에너지 가격과 관련하여 가장 대표적인 유가 변동에 따른 충격이 투자자 의사결정에 영향을 미쳐 투자 심리 변화에 영항을 주는가에 대한 내용을 중심으로 전반적인 에너지 가격 변동이 투자 심리에 영향을 미치는가에 대한 내용을 분석하고자 하였으며, 에너지 가격이 투자 심리에 어떠한 연관성이 있는지를 파악하기 위하여 웨이블릿 일관성 분석(wavelet coherence analysis)을 적용하여 주기별(단기, 중기, 장기) 에너지 가격이 투자 심리를 예측할 수 있는지를 분석하였다. 연구결과 에너지 가격과 투자 심리 사이의 시간 척도별로 차이가 발생하며 투자 심리 안정화를 위해 정책은 시간 척도별 효과를 고려하여야 하며, 에너지 가격과 관련한 투자 심리의 영향력은 단기보다 장기에서 더 크게 나타나고 있으며 마지막으로 시장에 영향을 미칠 수 있는 특정 사건 등이 발생하는 경우 에너지 가격과 투자 심리의 관련성 차이가 발생하기 때문에 이를 감안한 정책 및 시장 변화에 집중해야 할 필요가 있는 것으로 판단된다.

• The Journal of Asian Finance, Economics and Business
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• 제9권1호
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• pp.143-152
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• 2022

This paper examines the relationship between investor sentiment and the risk of a stock price crash at the firm level. Our dataset includes 131 firms listed on the Saudi stock exchange (Tadawul) from 2011 to 2019, as well as 953 firm-year observations. To evaluate crash risk, we employ two distinct proxies and propose an index for measuring firm-level sentiment which we use for the first time in our study. The average turnover rate, price-earnings ratio, and overnight return are the three sentiment proxies we utilize in our index. Our findings show that high levels of investor emotion increase managers' proclivity to withhold unfavorable news from investors, which aggravates the risk of a stock price crash. We undertake cross-sectional regressions by sector to ensure the robustness of our findings, and our findings are confirmed. After accounting for any endogeneity issues with the GMM technique, the results remain the same. Furthermore, we analyze the liquidity effect by dividing our sample into subsamples with better and worse liquidity and find that firms with worse liquidity have a considerably greater positive impact of investor mood. Overall, our findings help investors and regulators recognize the significance of this downside risk and how to manage it in the stock market.

• 유통과학연구
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• 제12권3호
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• pp.75-83
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• 2014

Purpose - The oil price affects company value, which is the present value of the expected cash flow, by affecting the discount rate and cash flow. This study examines the nonlinear relationships between oil price and stock price using the AlphaShares Chinese Volatility Index as the threshold. Research design, data, and methodology - Data comprise daily closing values of the Shanghai Stock Exchange Composite Index, Shenzhen Stock Exchange Composite Index, and Hang Seng Index of ChinaWest Texas Intermediate crude oil spot price and AlphaShares Chinese Volatility Index from May 25, 2007 to May 24, 2012. The Threshold Error Correction Model is used. Results - The results demonstrate different relationships between the stock price index and oil price under different investor sentiments; however, the stock price index and oil price could adjust to a long-term equilibrium the long-term causality tests between them were all significant. Conclusions - The relationship between the WTI and HANG SENG Index is more significant than the Shanghai Composites Index and Shenzhen Composite Index, when using the AlphaShares Chinese Volatility Index (ASC-VIX) as the investor sentiment variable and threshold.

• The Journal of Asian Finance, Economics and Business
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• 제5권4호
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• pp.45-56
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• 2018

The paper aims to examine relationships between search-based sentiment and stock market reactions in Vietnam. This study constructs an internet search-based measure of sentiment and examines its relationship with Vietnamese stock market returns. The sentiment index is derived from Google Trends' Search Volume Index of financial and economic terms that Vietnamese searched from January 2011 to June 2018. Consistent with prediction from sentiment theories, the study documents significant short-term reversals across three major stock indices. The difference from previous literature is that Vietnam stock market absorbs the contemporaneous decline slower while the subsequent rebound happens within a day. The results of the study suggest that the sentiment-induced effect is mainly driven by pessimism. On the other hand, optimistic investors seem to delay in taking their investment action until the market corrects. The study proposes a unified explanation for our findings based on the overreaction hypothesis of the bearish group and the strategic delay of the optimistic group. The findings of the study contribute to the behavioral finance strand that studies the role of sentiment in emerging financial markets, where noise traders and limits to arbitrage are more obvious. They also encourage the continuous application of search data to explore other investor behaviors in securities markets.

• East Asian Economic Review
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• 제25권2호
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• pp.125-150
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• 2021

The paper investigates investor sentiment's role in boosting Japanese companies to enhance their environmental, social, and corporate governance (ESG) performance. Using ESG scores of 367 firms between 2005 and 2019 from the ASSET4 database, we find that negative sentiment in the previous year, both firm and market level, can be a stimulation for the company's commitments to its ESG activities next year. Notably, the moderating effect of the business sector and economic cycle on the sentiment-ESG inference are detected in our study differentiating between corporate and market sentiment, which have never been reported before. In detail, we discover that the impact of firm-specific sentiment is less pronounced for high-sensitive ESG firms. On the other hand, the driving force of market sentiment on corporate social behaviors weakens when economic recessions happen. Our results are robust after controlling for potential endogeneity issues and using alternative proxies for market sentiment.

• 한국정보통신학회논문지
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• 제25권1호
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• pp.1-7
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• 2021

최근 코로나 19발생과 동시에 소셜 미디어의 투자자 정서가 증시 가격 움직임을 주도해 관심을 모으고 있다. 본 연구는 행동금융 이론 기반 빅 데이터 분석을 활용하여 소셜 미디어에서 추출한 정서가 중국 증시의 실시간 및 단기적 가격 모멘텀을 예측하는데 활용될 수 있는 기법을 제안한다. 이를 위해, COVID-19와 관련 200만 건 이상의 시나 웨이보 빅 데이터를 키워드 방식으로 수집 및 분석하고 시간이 따른 영향력이 높은 감정 요인을 추출한다. 최종 결과 도출을 위해 다양한 지도 및 비지도 학습 모델을 다 각도에서 구현 및 성능평가를 비교 분석 후, BiLSTM mdoel이 최적의 결과를 낼 수 있음을 증명했다. 또한, 제안하는 기법을 통해 주가변동과 심리요인 간에도 비슷한 움직임을 보이고 있음을 제안했고 소셜미디어에서 추출한 공공분위기가 어느 정도 투자자들의 심리를 대변할 수 있고, 주식시장에 영향을 미칠 수 있는 특수행사에 몰두할 때 증시변동에 차이를 만들 수 있음을 증명했다.