Impact of Investor Sentiment on Stock Returns
- Authors
- Kim, Youngkwang; Lee, Kaun Young
- Issue Date
- Feb-2022
- Publisher
- WILEY
- Keywords
- behavioral finance; investor sentiment; Korean stock market; financial crisis; mobile trading
- Citation
- ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.51, no.1, pp 132 - 162
- Pages
- 31
- Journal Title
- ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES
- Volume
- 51
- Number
- 1
- Start Page
- 132
- End Page
- 162
- URI
- https://scholarworks.bwise.kr/cau/handle/2019.sw.cau/55310
- DOI
- 10.1111/ajfs.12362
- ISSN
- 2041-9945
2041-6156
- Abstract
- This study examines the relationship between investor sentiment and stock returns in two active but different Korean stock markets. Using daily KOSPI and KOSDAQ data, we construct an investor sentiment index that includes adjusted turnover rate, buy-sell imbalance, and relative strength index. We find that investor sentiment significantly affects stock returns, more so in the KOSDAQ with high individual participation. Company characteristics, including size and stock price, affect the relationship between investor sentiment and stock returns. Moreover, we introduce the relationship between mobile trading and investor sentiment, and demonstrate that mobile trading transforms irrational investors into informed, rational investors.
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Collections - College of Business & Economics > School of Business Administration > 1. Journal Articles
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