주식 수익률에 미치는 투자자들의 관심효과를 검정하기 위한 순서제약추론

Abstract

Significant research has been conducted in the financial sector on the behavior of investors in the stock market. In this paper, we directly measure the degree of interest using the ranking of the frequency mentioned in the stock message board operated by Daum Communications Corp. and test the fact that the higher ranking of the frequency results in the higher stock returns in order to investigate the attention effect on the stock returns in the Korean stock market. We also propose and apply the likelihood ratio test procedure for order restricted hypotheses in order to test the attention effect. The test results shows that the higher rank in the frequency mentioned in the message board is related to stock returns (p-value < 10(-6)). Therefore, we conclude that an investors' attention effects exist in the Korean stock market.