Stock Market and Social Mood : Evidence from Korea

Journal of Derivatives and Quantitative Studies: 선물연구

ISSN: 1229-988X

Article publication date: 30 November 2014

Abstract

This study provides empirical evidence on the existence of a mood effect in Korea Stock Market. Given the assumptions that changes in the Consumer Expectation Index and the numbers of suicides proxy for the social mood, I find that the aggregate stock market moves with the changes of investor sentiment, on average. The relation between the KOSPI and mood variables representing for investor sentiment is economically and statistically significant. For example, a 10% increase of the CEI relative to the previous month leads to a 14.7% rise of the KOSPI. The magnitude of the mood effect is even larger on the small cap stocks, especially in the KOSDAQ market. The contemporaneous changes in the KOSPI affected by the changes of investor sentiment are mostly reversed in the next month, suggesting that the mood effect is short-lived and seems to be unrelated to the fundamental information.

Keywords

Citation

Choi, S. (2014), "Stock Market and Social Mood : Evidence from Korea", Journal of Derivatives and Quantitative Studies: 선물연구, Vol. 22 No. 4, pp. 611-635. https://doi.org/10.1108/JDQS-04-2014-B0002

Publisher

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Emerald Publishing Limited

Copyright © 2014 Emerald Publishing Limited

License

This article is published under the Creative Commons Attribution (CC BY 4.0) licence. Anyone may reproduce, distribute, translate and create derivative works of this article (for both commercial and non-commercial purposes), subject to full attribution to the original publication and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode