재무연구 제 권 호 (2017년 5월)
Asian Review of Financial Research, Vol., No..
pp.953~997
pp.953~997
Market returns and Investor sentiment measured by Internet search volume
Joon Chae Seoul National University, Seoul, Korea
Hyungjoo Kim Bank of Korea, Seoul, Korea
Bonha Koo Seoul National University, Seoul, Korea
We propose a new measure of investor sentiment, using weekly Internet search volume data of words in Korea from NAVER DataLab?Financial and Economic Attitudes Revealed by Search (FEARS) index, which reflect households’ economic concerns. We find that the FEARS index: (1) relates to a negative contemporary return and reverses after three weeks; (2) coincides with a temporary increase in volatility; (3) simultaneously induces a shift in trading behavior from risky to safe assets, which reverses after three weeks; and (4) is mostly affected by individual investors. Overall, these results are consistent with behavioral finance, which suggests that investor sentiment leads to mispricing that is subsequently corrected.
Joon Chae
Hyungjoo Kim
Bonha Koo
We propose a new measure of investor sentiment, using weekly Internet search volume data of words in Korea from NAVER DataLab?Financial and Economic Attitudes Revealed by Search (FEARS) index, which reflect households’ economic concerns. We find that the FEARS index: (1) relates to a negative contemporary return and reverses after three weeks; (2) coincides with a temporary increase in volatility; (3) simultaneously induces a shift in trading behavior from risky to safe assets, which reverses after three weeks; and (4) is mostly affected by individual investors. Overall, these results are consistent with behavioral finance, which suggests that investor sentiment leads to mispricing that is subsequently corrected.
