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.
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
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